Sounds like you are close to getting the build to work. Here are the steps from where you are at.
1. On page 3 of the Part 2 tutorial there is a Python script. You need to create a file called "test.py" and copy the import lines of the script into that file. Read the Python_quickguide if you have not already.
The file should have the imports:
import sys
import pygtk
import gtk
2. Once you have the script, you need to build a cx_freeze build script called "setup.py" like below in the same directory as the script you just created. This is shown in the Python_quickguide.
from cx_Freeze import setup, Executable
setup(
name = "screenshot",
version = "0.1",
description = "Basic screenshot example",
executables = [Executable("test.py")])
3. Once you have done that, open up a command prompt, cd to your directory and run the tool:
"setup.py build"
4. This step produces the library.zip file and all of the other dependencies that you see I copied with the executable. You unzip the library.zip file into your Construct\Data\Python directory. The other dependencies you bundle with your executable. You might also have to bundle the vcredistributable as I was explaining earlier.
Give the quickguide a short review and hopefully this all works!