Py2exe - Pmw WindowsError: [Error 3]
Finally, I found the solution:
First, you need to run the bundlepmw.py in the C:\Python27\Lib\site-packages\Pmw\build\lib\Pmw\Pmw_1_3\bin folder following this command: python bundlepmw.py C:\Python27\Lib\site-packages\Pmw\Pmw_1_3\lib to create the Pmw.py.
Read this page: folk.uio.no/hpl/scripting/doc/python/Pmw/dynamicloader.html, after fixing the bundlepmw.py based on this link sourceforge.net/p/pmw/discussion/33675/thread/f0bd7f34. You should be able to generate the Pmw.py file.
Then copy the Pmw.py plus PmwBlt.py and PmwColor.py into the main script directory and run your setup.py. Sweet