Ok, you have to compile with cx_freeze. It's really easy and it works with pygame...

http://cx-freeze.sourceforge.net/

Couldn't start it. :P

Got it to run under Linux by changing all the "\\" path delimiters to "/". However, when i use the ranged attack it keeps crashing with the following message:
Aborting due to Chipmunk error: Moment of Inertia must be positive and non-zero.
Failed condition: moment > 0.0f

Hey guys, thanks for checking it out!

Graf_Grun: Thanks for the tip, I tried out cx-freeze and I got it to build into an exe with all the required dlls, but I get a generic "Segmentation Fault" error without a stacktrace when I try to run it. :(

vidarn: Thanks for the tip about the different paths under linux, I'll remember next time to make separate batch files for linux. Unfortunately I cant reproduce that moment of inertia error and I'm not sure where it could be coming from, maybe pymunk doesn't work quite as well cross-platform as I thought :/

Try using py2exe to build windows exes! It works great with all of the libraries you used

Not sure how to get this to run, but wanted to say that the graphic style in the title and the sprites in the screenshot are very cool.