py2exe, google search this, exe , .
If you want to create .ico files, I would really suggest you look for an icon constructor or ready-made icons. Of course, you can create a Win 3.x style icon quite easily by creating a 16x16, 32x32 or 64x64 px image in paint and rename it to .ico. But creating modern icons with multiple resolutions for windows is much more difficult.
(I was going to ask what OS you are compiling for when I realized that "exe" sounds very windows and of course ...)
source
share