diff --git a/build_exe.py b/build_exe.py
new file mode 100644
index 0000000000..4cf064e83f
--- /dev/null
+++ b/build_exe.py
@@ -0,0 +1,32 @@
+from distutils.core import setup
+import py2exe
+import sys
+
+# If run without args, build executables
+if len(sys.argv) == 1:
+    sys.argv.append("py2exe")
+
+sys.path.append('./youtube_dl')
+
+options = {
+    "bundle_files": 1,
+    "compressed": 1,
+    "optimize": 2,
+    "dist_dir": '.',
+    "dll_excludes": ['w9xpopen.exe']
+}
+
+console = [{
+    "script":"./youtube_dl/__main__.py",
+    "dest_base": "youtube-dl",
+}]
+
+setup(
+    console = console,
+    options = {"py2exe": options},
+    zipfile = None,
+)
+
+import shutil
+shutil.rmtree("build")
+