This error can be caused because of various things. Firstly, the Cocos2d framework requires the pyglet framework (To me, its just a different version of pygame.) to be installed. Which can be installed with:

pip install pyglet

But if that's the case, i suppose that installing pygame would help too. To install pygame:

pip install pygame

Secondly, like the other guy said pygame depends on the C/C++ library "SDL (Simple DirectMedia Layer)"; and when this library is missing from your system (Its not too likely to be the case) you have to install it manually.

Lastly, those are just my predictions about the error message. Can you show the whole error message please?