The line that errors out is looking for an image in the Images folder. That's a path relative to the . Exe file created by py2exe.
So you need to be sure that that folder exists in correct position relative to the exe, and that it is populated with the images you are going to use. You can do this 2 ways. Either copy the folder to where the exe will reside, or use the data_files keyword arg in the script that makes the .exe.
Here's the pertinent part of one of my setup scripts, showing a data_files list of tuples and use of the data_files keyword arg later.
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