Windows
The first step to downloading any module is to get pip, which you can download from here: get-pip.py. Once you do that, run python get-pip.py from your command line to install pip on your laptop.
Once you have that, simply run pip install pygame from your command line to get pygame installed. For more detailed instructions and troubleshooting with the installation, check out the OS X installation instructions, but instead of using terminal, you will want to use a program called Command Prompt.