The problem is likely an antivirus program blocking write access to .exe files as others have noted. If you cannot or do not want to disable antivirus the following patch at the beginning of your setup.py
file will rename the file to avoid the .exe
extension before the modification and rename it back after.
import py2exe.py2exe_util
from py2exe.py2exe_util import add_resource
import os
def add_resource_patch(name, *arg, **kwarg):
name_tmp = name + '.tmp'
os.rename(name, name_tmp)
add_resource(name_tmp, *arg, **kwarg)
os.rename(name_tmp, name)
py2exe.py2exe_util.add_resource = add_resource_patch
from distutils.core import setup
import py2exe
setup(...)