I just installed PyGame 1.9.1 (onto an existing python 2.6.4). Python and it standard libraries work, however, there is a problem with python even being able to find the pyg
To check exactly which DLL's are missing use the CMD like python console. It will show a pop-up message indicating the missing DLL. Pygame works for me.
This actually happened to my installation as well. I have Python 2.6.6 installed, but the installation did not include Pygame. I downloaded Pygame 1.9.1 with Python 2.6, and identified where the directory was located, the installation seemed to work. However, from the IDLE, I entered import pygame, and received the very error originally posted.
If you are running a 64 bit version of windows, with a 64 bit python, the default installers on the Pygame site don't seem to work.
The pygame website led me there: There are some pre release binaries for 64bit windows, and for python 2.7 at http://www.lfd.uci.edu/~gohlke/pythonlibs/#pygame
I had the exact same error however i ran a small program i found the used pygame without the IDLE(by saving the code and then just double clicking on the .py file) and it worked 100% fine.
Are you sure you have got pygame for Python 2.6? The version for 2.5 wont work and produce this error msg, because the pyd file wont find the python 2.5 dll.
I have faced this error on a Windows 64 bit. I have uninstalled my python 3.4.1 and I have installed: python-3.4.1.amd64.msi then pygame-1.9.2a0.win-amd64-py3.4.exe from link mentioned above. And it worked.