"py2exe" is a new Distutils command that is added when you import py2exe. To use py2exe you need to create a setup.py file to tell Distutils and py2exe what you want to do. Here's a setup.py whose simplicity is appropriate for our sample program...

So their example setup.py script is:

from distutils.core import setup
import py2exe

Which can be built with

python setup.py py2exe

So I think you are just missing the import. Post your full setup.py if this is not the case so we can debug.