Check here for pygame wheel.
My config goes like
C:\WinPython-64bit-126.96.36.199\python-2.7.10.amd64, so it is a pre-compiled python bundle. The official site lists release only for 32-bit. But it gives the link to a wheel link.
Basically, this is a personal managed wheel list. Choose the follow wheel and install through
pip install pygame-1.9.2a0-cp27-none-win_amd64.whl