You have two different versions of Python installed (Python(x,y) and the python.org version), and pygame is only installed on one of them. When you run the interpreter through IDLE or the command line for the version that has pygame associated with you, you can import pygame and use it just fine. However, in Windows Explorer, .py files are associated with the other version of Python, that does not have pygame installed, so when you try to run a file by double-clicking on it the wrong Python interpreter starts, and it can't import pygame because it's not installed for that version.
To fix this, all you need to do is re-associate .py files with the correct version of Python. Right-click on a .py file, select Properties, and in the dialog box that comes up find where it says something like "Opens with:" and click the Change button. Browse to C:\Python33 and select python.exe, and you should be all set. Make sure the option "Always use the selected program to open this kind of file" is set, then click OK.
I'm on XP right now, so the process might be slightly different depending on which version of Windows you're running, but it should be fairly similar.
.pyfile to run it when you get the error?