The latest version supported by pygame is Python 3.13, so the best way is to install Python 3.13 or earlier versions.

The error "ModuleNotFoundError: No module named 'setuptools._distutils.msvccompiler'" occurred here, which is for Python 3.13 for windows.

If you must use Python 3.14, you can try to compile code with a lower version of the setuptools, as the latest version of setuptools has already deprecated distutlis.