You can use Pyinstaller, Py2exe, cxfreeze etc to do that. Here's a tutorial:
https://medium.com/dreamcatcher-its-blog/making-an-stand-alone-executable-from-a-python-script-using-pyinstaller-d1df9170e263
and also This article may help you: https://www.quora.com/How-can-I-convert-py-to-exe-for-Python-3-5-easily
i thing pyinstaller is the best one to change python file to exe file and you can set icon files for your exe file easily on pyinstaller
