So I was watching a video about installing pygame, and it told me to download the link from pygame  the most recent one. So I downloaded that and kept pressing the 'next' in wizard setup in order to install it. However, then when I did 'import pygame' it didn't work. Then on the pygame website it gave me this command to type into cmd promt - 'py -m pip install -U pygame --user'. Then when I did that and did import pygame, it didn't come up with an error. But I'm confused because the pygame I downloaded is in downloads, so I deleted it and removed it completely of computer, but import pygame still works. Why is this so? Sorry, I'm very much a noob at downloading/installing stuff and I get concerned about small things like this, but if anyone could tell me why 'import pygame' still works, and if I even needed to download pygame in the first place, I'd very much appreciate it. Thank you.
When you downloaded pygame, then it just get downloaded as a setup in your computer. For now, it isn't installed in your computer. So, importing it will not work, because python can't find that file installed in python root folder
But as soon as you execute this command py -m pip install -U pygame --user, then pip looks for a package  named pygame in your computer, and install it then the installed file of pygame moves somewhere in python root folder. So, Now importing pygame will work. 
And you said that you deleted the downloaded file. So, Python will not be affected anyways, because that was only a setup. Main stuff, which is the installed file get moved in python root folder. As a result it is still in your computer. So, importing pygame would definitely work, because python can still find pygame in its root folder.
So, this is how all this works!
New PC pygame concerns