I have Anaconda 1.6.2, which uses Python 2.7.5, installed on a Windows 7 64-bit system.
I need to install Pygame 1.9.1
Another way to do the job, as i see, is to reinstall Anaconda using its Windows installer so that later you can install your pygame using Windows installer too. This could save your much work in installer pygame from source.
Note that the versions of your Anaconda and pygame should be both 32 or 64 bits, and be using the same python version.