I installed successfully, it is in python26/Lib/site_packages but it won't import. Here's the error message:
>>> import pygame
Traceback (most recent call last):
File "<pyshell#0>", line 1, in <module>
import pygame
File "C:\Python26\lib\site-packages\pygame\__init__.py", line 93, in <module>
from pygame.base import *
ImportError: DLL load failed: The specified module could not be found.
It's really annoying... I'm using Vista