I also don't know all that much about Puppy Linux, but in navagaing their web site I see that they have something called "pupget" for installing applications. I would check there first to see if pygame is available.
I don't like to steer people away from their favorite distro.. If puppy is for you, then by all means try and make it work.. but if you are open to alternatives, then I will give you two.. If you have newer hardware and like the xfce window manager, then consider installing Xubuntu. If your hardware is a bit older, then you might consider intalling XFLD http://www.xfld.org both of these are live CD's that you can install to the HD. The advantage is that you will have access to APT repositories which probably have a bit more software avaiable than Puppy. If you install XFLD, you might then want to add Synaptic to it, which will make it even easier to find and install other software. (Xubuntu comes with Synaptic pre-installed)