Installing pygame can be tricky.
The instructions here lead you through what you need to do.
Some pointers to reiterate:
Pygame is very particular about the version of python. You need to have the same version of python that your pygame build is targeted for.
The highlighted pygame build above is intended for python 2.5 32 bit version–no other version of Python will work. So even if you have a 64 bit computer, you need the 32 bit version of python and it must be the python 2.5 version.
If you need help installing Python on windows, here’s two of our other posts