I use the Active State tools, but do have the same situation with icon files, etc that are used by but are not part of the .exe file. I just make a .zip file with the .ini,.bmp,.exe file etc. Simple and works fine for me.

Update: not sure if you mean the icon that Windows displays for the .exe? With activestate there is an option for me to specify that icon. I don't know how to do that with pp. sorry. I think there is some Windows shell stuff that can do that if icon is a separate file, but I've forgotten how to do it. Anyway once the program is going, Tk can find it if .bmp file in same dir as the .exe. Google on "Windows embed icon" and there are some things that might be useful to you. You may have to embed it so that windows can display for the .exe and also include the file in .zip for your Tk application to use it.