For me this command works.->py -m pip install -U pygame --user
But first, make sure you properly configure your environment variables.
This tutorial http://www.aaronstannard.com/how-to-setup-a-proper-python-environment-on-windows/ will help you how to setup environment variables for python, make sure you do it correctly only step 2 ,no need to do any other steps from this tutorial, now you can follow my steps that were listed below. I will assume that you have already installed python in your computer
Step1
Search for cmd and Right click on cmd and do run as administrator.
Step2
Run the command, py -m pip install -U pygame --user, but before you run this command first of all make sure you configure your environment variables properly.
Step3
Type python in command prompt, this will take you to the python command line which will look like this ">>>".If not then you have a problem with your system variables.
Step4
Make sure you are in python command line and then type import pygame,and after this press ctrl+z and enter that will take you out from python command line.
Step5
Make sure you are not in python command line and then run this command py -m pygame.examples.aliens,if the game starts then congrats you are done.