Solution 1:

import pygame, sys
from pygame.locals import *

def main():
    pygame.init()

    DISPLAY=pygame.display.set_mode((500,400),0,32)

    WHITE=(255,255,255)
    BLUE=(0,0,255)

    DISPLAY.fill(WHITE)

    pygame.draw.rect(DISPLAY,BLUE,(200,150,100,50))

    while True:
        for event in pygame.event.get():
            if event.type==QUIT:
                pygame.quit()
                sys.exit()
        pygame.display.update()

main()

This creates a simple window 500 pixels by 400 pixels that is white. Within the window will be a blue rectangle. You need to use the pygame.draw.rect to go about this, and you add the DISPLAY constant to add it to the screen, the variable blue to make it blue (blue is a tuple that values which equate to blue in the RGB values and it's coordinates.

Look up pygame.org for more info

Solution 2:

here's how:

import pygame
screen=pygame.display.set_mode([640, 480])
screen.fill([255, 255, 255])
red=255
blue=0
green=0
left=50
top=50
width=90
height=90
filled=0
pygame.draw.rect(screen, [red, blue, green], [left, top, width, height], filled)
pygame.display.flip()
running=True
while running:
    for event in pygame.event.get():
        if event.type==pygame.QUIT:
            running=False
pygame.quit()

Solution 3:

Have you tried this:

PyGame Drawing Basics

Taken from the site:

pygame.draw.rect(screen, color, (x,y,width,height), thickness) draws a rectangle (x,y,width,height) is a Python tuple x,y are the coordinates of the upper left hand corner width, height are the width and height of the rectangle thickness is the thickness of the line. If it is zero, the rectangle is filled