setup(windows=[{'script': script_path, 'icon_resources': [(1, icon_path)]}],
    data_files=[('imageformats', [
    'C:\\Python26\\Lib\\site-packages\\PyQt4\\plugins\\imageformats\\qico4.dll'
    ])], options={'py2exe': {'packages': ['gzip'], 'includes': ['sip']}})
Значок окна Exe в PyQt4