Why?

The downloaded pyGame is not compatible with the python version.

How do you do it?

Go to the website and download the pyGame installation related to your Python version.
(check your Python version: if you enter Python in CMD, you will be prompted for the python version.)

Process:

When installing pyGame last night, I went to the website: link according to the process in the textbook “Python Programming: from introduction to practice”, and downloaded the corresponding pyGame. However, the above errors occurred during the installation.
Looking all over the network, there is no suitable solution for me.
Then I look at the error report carefully:
pygame-1.9.2-cp35-cp35m-win32.whl is not supported by this platform (wheel, please point out what it is). The previous file is used to install pyGame.
1.9.2 refers to PIP version.
Cp35 refers to Python version 3.5, while mine is 3.7.
So far, the event is clear. Each pyGame corresponds to a different version of Python. The version is incompatible and an error is reported.
After downloading, the installation is successful!
(no screenshots here: I forgot to cut them last night)