if you mean a Windows exe, then you REALLY want to build on Windows.
if you mean "an executble version for linux", then:
- the executable file will not have the exe extension, it should jsut be the name of your script, without the .py
- or, if you know that, and it's not working, then tell us what you did, and what result you got.
Read the PyInstaller docs -- starting with the tutorial.