The DistUtils are a collection of several different commands to build and install python modules and extensions. DistUtils is a standard module in newer Python releases. On some Linux distribution it's in a python-dev package or similar.
Py2Exe is an additional command to DistUtils, that creates standalone distributions for Win32.
Documentation:
[http://www.python.org/doc/current/dist/dist.html Distributing Python Modules]
[http://www.python.org/sigs/distutils-sig/ Python Distutils-SIG: Introduction]