To add new modules to Thonny:
tools - options - Environmental variables
set http_proxy=http://ad.quantum.exa-networks.co.uk
restart thonny
You need to set the proxy (above), then go to Tools - Open System Shell then run this command:
pip install --trusted-host pypi.org --trusted-host pypi.python.org --trusted-host files.pythonhosted.org pygame