[cx_Freeze] CMD Prompt can't find my setup.py, help needed !

[snippsat]

>>> s = 'C:\U'
Traceback (most recent call last):
  File "<interactive input>", line 1
SyntaxError: (unicode error) 'unicodeescape' codec can't decode bytes in position 2-3: truncated \UXXXXXXXX escape

Never use single \ that way in path for Windows,
because of escape character.
Okay:

>>> s = 'C:/U'
>>> s
'C:/U'
>>> s = r'C:\U'
>>> s
'C:\\U'
>>> s = 'C:\\U'
>>> s
'C:\\U' 

Example setup script Cx_Freeze.

#cx_run.py
from cx_Freeze import setup,Executable
import sys
 
# Replaces commandline arg 'build'
#sys.argv.append("build")
 
# If need to include/exclude module/packages
includes = []
excludes = []
packages = []
 
# Console or Win32GUI
base = None
if sys.platform == "win32":
    #base = 'Console'
    base = 'Win32GUI'
 
# Name of file to make ".exe" of
filename = "Test1.py"
setup(
    name = 'Myapp',
    version = '0.1',
    description = 'Cx test',
    options = {'build_exe': {'excludes':excludes,'packages':packages,'includes':includes}},
    executables = [Executable(filename, base=base, icon=None)])
 
#--|  From command line
#python cx_run.py build

There can bye problem with cx_Freeze and Pygame.

---

Use Pyinstaller, pip install pyinstaller
Test with your code(Python 3.6.2),i use pipenv for virtual environment in this test.
From command line:

pyinstaller --noconsole --onefile Test1.py

In dist folder there will be 1 file Test1.exe.

Edit:
I did a test with cx_Freeze and it did work with your pygame code