If you are on MacOSX or Linux, use the .py file. Both Python and Pygame are required.
Once you have installed python, to install pygame simply type python3 -m pip install pygame into the terminal.
Alternatively, if you are on MacOSX or Linux, you can use Wine and the .exe file, in which case only Python is required.
If you are on a windows computer, use the .exe file. Python is required.