Installing Python and Pygame
You can download python from Python 2.7 release, get the Windows installer and run it.
After that, you are ready to install pygame, which can be obtained from Pygame releases for Windows, make sure you get the one for 2.7. Once you run the installer you should be good to go.
OS X 10.6.* (Snow Leopard) You already have python 2.6 installed. You need only then to download the pygame installer at Pygame releases, you will find the snow leopard installer at the bottom of the OS X section.
If you are running a recent version of your distro, chances are you may already have python 2.6 or 2.7 installed. If that is the case you can go ahead and install pygame using your package manager (in the case of ubuntu the package is python-pygame).