You can install either 32 bit python or 64 bit with your OS, but i can assure you 32 bit has a history of less problems when it comes to pygame. Whatever your python bit type is, your pygame must be also.
Are you installing python2.x or python3.x? I would shy away from python3.6 for the moment, until pygame catches up. But you can install python3.5.X or python2.7.X and should have no problems.
Wheels are the new fad in python. MSI installers havent been made with pygame since python3.4. You can either install python3.4 and pygame for python3.4 and use that MSI installer, or you can use pip and wheels to install python3.5 and pygame for python 3.5.
EDIT
Quote:And checking the link now, they do actually have pygame for python3.6 in the unofficial wheels
http://www.lfd.uci.edu/~gohlke/pythonlibs/#pygame
basic pygame install guide
http://python-gaming.com/pygame/docs/install.html
pip is a python 3rd party installer, and has lately come included with python. After you install python, it is located in ./Scripts directory of where ever you install python to. I would suggest to customize the installation path to
C:\PythonXX-XX
where XX is your version and bit type when you install python. Otherwise the new default location sucks at
C:\Users\USERNAME\AppData\Local\Programs\Python\PythonXX-XX
bring up a windows command prompt and navigate to your scripts directory and execute
pip.exe install YOURWHEEL
Where YOURWHEEL is the full path to your downloaded wheel. OR just move the wheel to the scripts directory and input the name of the wheel.
for downloading hte proper wheel. cp35 in the wheel name means python3.5, and win32 means 32 bit while amd64 means 64 bit.
When your all done you can verify your python installation by going into a python interpreter from your windows command prompt
C:\PythonXX-XX\python.exe
if that is where you installed it to.
and execute
import pygame
if you get >>> without an error your good to go.
Only at this point you should be trying to get it to work with an IDE such as IDLE/Eclipse/PyCharm/etc.