I recently realised that if you downloaded the Windows executable of From Bear To Phoenix, you may also need to download and run another file. That is, you may need to download and run vcredist_x86.exe from here if MSVCR90.dll is missing: note that the SP1 version should not be used.
See the py2exe tutorial section 5.2.2 for full details.
Yes, I used py2exe to create the Windows executable. I've used pyinstaller for creating Windows executable for Ighalsk, but pyinstaller just could not bundle pygame correctly (I'm sure it's possible, but after wasting 2 or 3 calendar days trying, I gave up). There's a great sample script for using py2exe with pygame here, which I customised slightly but largely worked out of the box. I'm deliberately not bundling the data files inside the executable, since I want it to be possible to edit them and then run From Bear to Phoenix using the new data files. All of which will become more interesting when there are multiple allies :)
EDIT: Forgot to mention that From Bear to Phoenix release 0.0.1 is available here. If the Windows executable still doesn't work or is too large and you have Python installed, the source code is also available from here.