It looks like the SWIG_compile_dll_MSVS2005.dll isn't even getting built on my system, the py2exe error comes right after the copy command to put the .pyd in the root directory. It definitely gets so far as creating as creating the "CppBlockUtils_wrap.cxx" file indicated by the README text file. Can I manually compile this somehow?
I don't know anything about manually compiling in Windows. Though, I do plan to
finally release alpha soon, which means binaries will come with it. I got a not-cleaning-up-properly bug in the current binary that has to be fixed, then I'll maybe post a release-copy. So worst case, wait a day or two and you can skip this

Well, I'm a programmer too ... so now I've got the itch to figure out wtf I'm doing wrong ...
You can't just tell me to wait or I'll scratch my eyes out!
I got it working on Linux ... but I only have 2GB of RAM on that computer, so it pretty much dies when I run Armory, lol.
Anyway, so here's some more messages from the output:
SWIG_compile_dll_MSVS2005.vcxproj -> C:\Users\Nuri\Repositories\BitcoinArmory\cppForSwig\Release\SWIG_compile_dll_MSVS2005.dll
2> 1 file(s) copied.
2> python: can't open file '../pyqt/setup.py': [Errno 2] No such file or directory
2>C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\Microsoft.CppCommon.targets(113,5): error MSB3073: The command "copy Release\SWIG_compile_dll_MSVS2005.dll ..\_CppBlockUtils.pyd;
2>C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\Microsoft.CppCommon.targets(113,5): error MSB3073: python ../pyqt/setup.py py2exe --includes sip,hashlib -d ../pyqtexplore
2>C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\Microsoft.CppCommon.targets(113,5): error MSB3073:
2>C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\Microsoft.CppCommon.targets(113,5): error MSB3073: :VCEnd" exited with code 2.
========== Build: 1 succeeded, 1 failed, 1 up-to-date, 0 skipped ==========
It looks like there's something wrong with PyQt4, but it's definitely installed. I tested Python's PATH from command line, and that works, too. Hmmmm ...