pyglet does not need to be installed. Because it uses no external libraries or compiled binaries, you can run it in-place. You can distribute the pyglet source code or runtime eggs alongside your application code (see Distribution).
You might want to experiment with pyglet and run the example programs before you install it on your development machine. To do this, add either the extracted pyglet source archive directory or the compressed runtime egg to your PYTHONPATH.
On Windows you can specify this from a command line:
set PYTHONPATH c:\path\to\pyglet-1.1\;%PYTHONPATH%
On Mac OS X, Linux or on Windows under cygwin using bash:
set PYTHONPATH /path/to/pyglet-1.1/:$PYTHONPATH export PYTHONPATH
or, using tcsh or a variant:
setenv PYTHONPATH /path/to/pyglet-1.1/:$PYTHONPATH
If you have downloaded a runtime egg instead of the source archive, you would specify the filename of the egg in place of pyglet-1.1/.