The standalone Windows installer for Mercurial is built in a somewhat
jury-rigged fashion.
It has the following prerequisites, at least as I build it:
Python for Windows
http://www.python.org/ftp/python/2.4.1/python-2.4.1.msi
MinGW
http://www.mingw.org/
Python for Windows Extensions
http://sourceforge.net/projects/pywin32/
mfc71.dll (just download, don't install)
http://starship.python.net/crew/mhammond/win32/
The py2exe distutils extension
http://sourceforge.net/projects/py2exe/
Inno Setup
http://www.jrsoftware.org/isinfo.php
ISTool
http://www.istool.org/default.aspx/
add_path (you need only add_path.exe in the zip file)
http://www.barisione.org/apps.html#add_path
And, of course, Mercurial itself.
Once you have all this installed and built, clone a copy of the
Mercurial repository you want to package, and name the repo
C:\hg\hg-release.
In a shell, build a standalone copy of the hg.exe program:
python setup.py build -c mingw32 py2exe -b 1
Copy mfc71.dll and add_path.exe into the dist directory that just
got created.
Run ISTool, and open the C:\hg\hg-release\contrib\win32\mercurial.iss
file.
In ISTool, type Ctrl-F9 to compile the installer file. The actual
installer will be in the C:\hg\hg-release\Output directory.