Hi,
Thanks for posting. Unfortunately, I'm not familiar with cxFreeze - here we mainly discuss issues with the code for my book OpenCV with Python Blueprints.
However, I looked at your SO question, and I would follow zindarod's suggestion to find out exactly where your code breaks. It would be good to add output or error messages for each step that could go wrong.
For example, if you know that cap is not opened, the problem must come before this line of code. What is the value of cap? Is the wmv filepath hard-coded? Could it be that the exe assumes a different path and thus cannot find the wmv? etc.
Good luck,
Michael