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
I had this error and after much digging discovered that the version of python interpreter MUST match the version of pygame installed.
If you have an erroneous combination, your best bet is to uninstall what you have via Start -> Control Panel -> Uninstall Programs.
A combination that works (Install in this order) -
Python 3.2.5 - Msi download this file for Windows Vista 32-bit-
www.python.org/download/releases/3.2.5/ - Windows x86 MSI Installer (3.2.5) <- This link, about halfway down the page
Pygame - pygame.org/download.shtml -
pygame-1.9.2a0.win32-py3.2.msi <- This download link, bottom of the top list on the page.
Now you should be able to open IDLE (The default development environment) by finding the python folder from your start menu. Once it's open, type 'import pygame'. Hopefully, you'll get no errors and pygame was imported properly. I wish you luck with your programming endeavours.
If you're dissatified with the IDLE environment and want to use another, I personally use the LiClipse IDE. I have no rep, but a google search should turn that one out ;)