diff --git a/setup.py b/setup.py
index fd28e0a1711a..acf77a708936 100644
--- a/setup.py
+++ b/setup.py
@@ -89,7 +89,7 @@ def run(self):
         # Need to be runnable as scripts
         '__main__.py',
         'sitepkgs.py',
-        'dmypy/__main__.py',
+        os.path.join('dmypy', '__main__.py'),
 
         # Needs to be interpreted to provide a hook to interpreted plugins
         'interpreted_plugin.py',