Can I somehow "compile" a python script to work on PC without Python installed?

So I have a Python script:

myscript.py

I am executing it like this:

python D:\myscript.py

However, I must have Python installed and included in the PATH environment variable for that to work.

Is it somehow possible to "bundle" Python executable with a Python script so other people will be able to run it on their PCs without Python?

It is ok if it will work only in Windows.

EDIT:

After trying the compile.py I get this error:

Traceback (most recent call last):
  File "D:\stuff\compile.py", line 4, in <module>
    import py2exe
ImportError: No module named py2exe