On a mac machine:

On a Windows machine:
Courtesy from Naomi

So first you would have to download pygame through http://python-gaming.com/pygame/ftp/pygame-1.9.2a0-cp35-none-win32.whl

After that, follow the steps on the “install pygame” section of this website: https://skellykiernan.wordpress.com/2015/01/04/python-pygame-install/. The only difference is that you will need to copy the pygame-1.9.2a-0-cp35-non-win32.whl file instead of the file that was in the first step. Moreover, you would be looking for python 3.5, not for python 3.4.