How to install pygame on Windows

[Steve]

I have python 2.1 and the latest numeric python installed.  I downloaded
pygame-1.0-win32.exe but all this does in install some files in a directory.
All other python installers for windows install the dlls, pyds and py files
into the correct place in the python directories so I can use them straight
away.  From reading the pygame docs it seems to require running python
setup.py install, I try this but it does not work as it wants to compile a
font.obj.  I thought by downloaded the windows installer you didn't need to
compile anything to get this working.  Can someone who has got pygame
working under windows let me know what I am doing wrong to get this to work.

Thanks,
Steve