Try google: "pygame.error: File is not a Windows BMP file"
Here is the first answer I found using google:
FAST SOLUTION for beginners:
install Python 2.7.5
Go into Applications --> Python 2.7 --> update Shell profile
Python 2.7.5 should now be your default python. Run your application with that (in terminal) and it all works.
This is by far the easiest way to get around this problem. Hope this helps.