Seems like what you want to do would better be solved using the Windows Registry - I am assuming that since you mentioned you'll be creating an exe from your script.
This following snippet tries to read a string from the registry and if it doesn't find it (such as when the program is started for the first time) it will create this string. No files, no mess... except that there will be a registry entry lying around. If you remove the software from the computer, you should also remove the key from the registry. Also be sure to change the MyCompany and MyProgram and My String designators to something more meaningful.
See the Python _winreg API for details.
import _winreg as wr
key_location = r'Software\MyCompany\MyProgram'
try:
key = wr.OpenKey(wr.HKEY_CURRENT_USER, key_location, 0, wr.KEY_ALL_ACCESS)
value = wr.QueryValueEx(key, 'My String')
print('Found value:', value)
except:
print('Creating value.')
key = wr.CreateKey(wr.HKEY_CURRENT_USER, key_location)
wr.SetValueEx(key, 'My String', 0, wr.REG_SZ, 'This is what I want to save!')
wr.CloseKey(key)
Note that the _winreg module is called winreg in Python 3.