Why does “pip install” inside Python raise a SyntaxError?

pip is run from the command line, not the Python interpreter. It is a program that installs modules, so you can use them from Python. Once you have installed the module, then you can open the Python shell and do import selenium.
The Python shell is not a command line, it is an interactive interpreter. You type Python code into it, not commands.

Use the command line, not the Python shell (DOS, PowerShell in Windows).
C:Program FilesPython2.7Scripts> pip install XYZ

If you installed Python into your PATH using the latest installers, you don’t need to be in that folder to run pip
Terminal in Mac or Linux
$ pip install XYZ