After hours of stumbling around with the same issue, I’d like to share the solution that worked for me on windows vista:
using python2.6
copy the following directory into your dist directory generated by py2exe:
C:\Python26\Lib\site-packages\PyQt4\plugins\imageformats
I just dropped the imageformats directory directly into my dist directory, without any further modifications to qt.conf or anything like that. I haven’t tried it, but this may work for phonon as well.