Any idea what they are using to package the Python into the exe?
I've tried py2exe and all of the similar packagers that I could find, and every one of them requires brittle incantations to get everything packaged (I'm using a lot of graphics and number-crunching code beyond standard python, but all from the package index). I guess on the scale of Dropbox this is probably not a big issue. On my scale (1), it's one of the reasons I've started using C# (an unexpectedly awesome experience so far, btw). I need the fastest possible path to one-click exe files that non-technical (bio/chem) researchers and RAs can run. I've belatedly realized that the overhead of doing this in python is really too high.
I use py2exe to package a complex application using a number of libraries into a single exe that contains everything except the graphics resources it uses (those are in a folder in the same dir). I'd be happy to help you set it up if you need help. Poke me on IRC, I'm Kliment on freenode. I have a bat file that runs "python setup.py py2exe" and out comes an executable. I rerun that bat file when I change stuff.
(I haven't disassembled the dropbox dlls, but there aren't any obvious python signatures in the install directory)
If the above is wrong, I would love to know what they are using!