Please run attached zip archive as a python script.  Note that the problem is not specific for using __main__.py - any module that comes from a zip archive or loaded by a custom loader would show the same bug. 

$ unzip -l test.zip 
Archive:  test.zip
  Length     Date   Time    Name
 --------    ----   ----    ----
       79  10-24-08 18:26   __main__.py
 --------                   -------
       79                   1 file
$ $ cat __main__.py
from trace import Trace

def traced(flag):
    if flag:
        return 1
    else:
        return 2

tracer = Trace()
tracer.runfunc(traced, False)
results = tracer.results()
results.write_results(coverdir='.')

$ python testtrace.zip 
 --- modulename: __main__, funcname: traced
Not printing coverage data for 'testtrace.zip/__main__.py': [Errno 20] Not a directory: 'testtrace.zip/__main__.py'
__main__.py(4): __main__.py(7): $