Both guides in the accepted answer seem outdated.
PyInstaller now provides an executable script that allows you to do
pyinstaller your_script.py
wherever your_script.py is located – instead of the old mode of copying your your_script.py to wherever you copied the source code of PyInstaller.
Here’s a brief, more recent guide that walks you through a simple Hello World example:
PyInstaller: Package Python Applications (Windows, Mac and Linux)