I want to make a msi for my PyGame game with cx_Freeze :
(I already created an execute file)
So, i used python setup.py bdist_msi, but I got this message : 
File "C:\Python34\lib\msilib\__init__.py", line 213, in commit
    FCICreate(filename, self.files)
ValueError: FCI error 1
An idea ?
I had the same problem. I solved my problem by deleting the build directory. 
Then run python setup.py bdist_msi.
That works for me.
I wish it will help you.
Building msi with cx_Freeze : ValueError: FCI error 1