I managed to install pip but when I use pip to install the downloaded wheel, it prints:
C:\\Python34\\Scripts\\pip install pygame-1.9.2a0-cp34-none-win_amd64
I had to remove the 64bit python and install the 32bit version to solve this issue.
c:\python34\scripts\pip install c:\users\USER\downloads\pygame-1.9.2a0-cp34-none-win32.whl
Unpacking c:\users\USER\downloads\pygame-1.9.2a0-cp34-none-win32.whl
Installing collected packages: pygame
Successfully installed pygame
Cleaning up...
Worked fine with 32bit :)