The CPython crowd apparently made some change between CPython 3.4 and CPython 3.5 which changed how Windows DLLs are called. This broke Py2exe, which no longer works for the current release of CPython. [1]
CPython's approach to C extensions usually requires having the same Microsoft C compiler version used to build Python. This is now a problem for Python 2.7, because the Microsoft compiler version used to build it is no longer available. Microsoft recently changed their API for the C runtime, and CPython has been changed accordingly.
CPython's "C interoperability story" isn't really that good on Windows.