Distutils confusion - probably something simple

[python newbie]

Ok, I am struggling with this setup.py. My python script happens to use the
mxBase library, specifically the mx.DateTime package. That's the only "third
party" package I use. I've gone through Nutshell book and the distutils
docs, but am not getting the syntax probably..

I always get this at the end of the distutils command ( python setup.py
py2exe ):

The following modules appear to be missing <-- pasted directly
['mxDateTime.__version__']

( A menu1.exe file is in fact created though)

My setup.py is:
------------------------------------------
#!Python

from distutils.core import setup
import py2exe
setup(
console=["menu1.py"],
name="MyBackup",
version="1.0",
packages=['mx', 'mx.DateTime'],
py_modules=['menu1','OregonBackup','backup_config'],
data_files=[('.',['backup.xml','some.ini'])] )
------------------------------------------

( incidentally, menu1.py specified above is the py file that calls
everything else of course, but my OregonBackup.py file is what actually
contains: "import mx.DateTime" - I don't know if that actually matters)

I actually put all of my files directly into the
C:\Python23\Lib\site-packages folder, so that "mx" folder can be seen by
distutils.
Running on Win XP.

Thanks
Steve