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The error says you are typing the installation command into the wrong field. If you installed python in the default way (linking it to the environment variables)
Just open the CMD (Windows+R | CMD | [Enter]) and type:
Pip install pygame [Enter]
Ready, python itself will download/install in the correct directory
As you ask the error that appeared to you, have the version of Pip updated ? Confirm and/or update if necessary. In windows it would be something like
python -m pip install --upgrade pip
– Isac