This page describes the windows developer enviroment setup to create bundled .exe to install GTK/PtGTK.
Right now, in order to setup a PyGTK dev enviroment in windows, you need to install the following packages:
Gtk+ Runtime from GladeWin32
PyGTK and PyCairo from PyGtk on Win32
And then, you need to work even more if you want fancy things like Gazpacho or Kiwi. So, we have to install at least 3 packages. Here we'll try to document how to build an bundled package with all you need.