I have been trying to install the pygame module and get the error 

ImportError: No module named 'pygame'.

I currently have Python version 3.3.4 and installed pygame cp33 32-Bit. 
It is currently a whl file and I have tried following tutorials etc in order to import it but I'm having no luck.
You can easy install and check which version fits you by downloading PyCharm IDE. When you download it, go to:

File
Settings
Project <project's name>
Python Interpreter

Then press the plus icon on your right (install), and type pygame. When you find the module, check the box Specify version and select the version you want.
If this version does not want, you can easily select and check the other versions.
Installing Pygame Module