If you don't yet have Python installed or you have an older version, grab a copy here.
The PyGame download on the official website is out of date, so grab pygame-1.9.2b1-cp35-cp35m-win32.whl from here.
Open up Windows Explorer (the file manager), click on the address bar, paste in %localappdata%\Programs\Python\Python35-32\, and press Enter.
Copy the pygame-1.9.2b1-cp35-cp35m-win32.whl file you downloaded into this folder.
Hold down shift and right-click on the background of the Windows Explorer window. Select Open command window here. A command prompt will appear.
Paste python -m pip install pygame-1.9.2b1-cp35-cp35m-win32.whl into the command prompt and press enter. Wait for the command to finish.
Open up IDLE and type import pygame; pygame.init(). If you don't get any errors, PyGame is installed correctly.