OK, I got a minimal example working. However I noticed while doing so I still only have Pygame 1.8, while that Color module on their docs page is for 1.8.1.
import pygame, sys
from pygame.locals import *
pygame.init()
black = 0, 0, 0
surface = pygame.Surface((200, 100))
surface.fill((255, 255, 255))
surface.set_alpha(100)
screen = pygame.display.set_mode((600, 400))
while 1:
for event in pygame.event.get():
if event.type == pygame.QUIT: sys.exit()
screen.fill(black)
screen.blit(surface, (100, 100))
pygame.display.flip()
You should see a grayish rectangle on a black screen. Play with surface.set_alpha to see the results. Note there seems to be at least two (maybe three?) different ways to set alpha values, for different reasons -- read up on the Surface module section of the docs.
You can do a lot of stuff with Pygame but things like this are partly what made pyglet more attractive for me.