Installing Pygame on 64-bit Windows 7 and 64-bit Python 2.7
This worked from me (Windows 7, python 2.7, 64 bit):
pip install C:/Users/ujjwal.karn/Downloads/pygame-1.9.2a0-cp27-none-win_amd64.whl
I downloaded the file pygame-1.9.2a0-cp27-none-win_amd64.whl from http://www.lfd.uci.edu/~gohlke/pythonlibs/#pygame as well.
In general, whl files are installed with pip:
pip install whatever.whl
Open the .whl file through WinRar and just extract the contents(you will find 3 folders) into your Python folder. For example : if you had installed python 2.7.3 in C:, then your directory to extract will be C:\Python27