py2exe cannot do this. You can wrap py2exe (there is an example on the wiki showing how to do this with NSIS); you can create your own wrapper if using NSIS or InnoSetup was not an option.
Alternatively, if you are sure that your users will have a compatible copy of msvcr71.dll (IIRC Vista or XP SP2 users) installed, you can leave without including it. More useful, perhaps if you are using Python 2.3 (or older), then Python links are against msvcr.dll, not msvcr71.dll, and any Windows user will be installed this way, so you can just not worry about it.
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