I am kind a stuck. I have tried to make Tetris game with music to .exe, but I really don't know how to do it. Can someone give some tips, how to make .py to .exe?
 I have tried Pyinstaller, cx_Freeze and none of them work.
They should all work.  Py2exe and Py2app are the ones that don't.  If they don't work they you haven't used them properly.  Particularly cx_Freeze that requires you to "tune things manually".
Here are some debug steps that will help you resolve your error:

When freezing for the first time don't hide the console.  This will hide any errors that occur.  You need to see those.
When building look for any errors that appear at the end.  These may give you a clue as to how to solve the problem.
If you have errors the terminal will appear shortly then close. Run the executable through the terminal and the terminal will stay open allowing you to read the messages. This can be done in the following way:


    C:\Location>cd \Of\App 
    C:\Location\Of\App>NameOfExecutable
cd is a command that stands for change dictionary and assuming your .exe is called NameOfExecutable.
Under PowerShell you would use the same but ./NmeOfExecutable to execute instead.

See what errors that appear.  If you get an error that says a package is missing includes often does the trick (remember to include the top level package as well as the exact one missing.
If you use external files or images remember to use include_files to add them along as well.  Note that you can add runtimes (or DLLs) in this way too
Attempt a build folder before going for an msi.  Get the build folder working first then go for the msi.
Converting Python 3.6.1 Tetris game with music, to exe