Swing

I've seen most people here in AZ hang them from the wood on the patio roof (underneath beam).

Well, if you have a covered porch or deck, you may be able to hang it from the ceiling. I have even seen swings installed inside, just as long as you make sure they are anchored properly.
Other than that, you could buy a swingset ($$$).

If you really don't have a place to hang it, return it... buy him a johnny jump up or a bouncy toy I have also seen Little Tykes make a climber set (for outside) with a swing and slide.

Updated

Well, if you have a covered porch or deck, you may be able to hang it from the ceiling. I have even seen swings installed inside, just as long as you make sure they are anchored properly.
Other than that, you could buy a swingset ($$$).

If you really don't have a place to hang it, return it... buy him a johnny jump up or a bouncy toy I have also seen Little Tykes make a climber set (for outside) with a swing and slide.

We used to live in Yuma so I know your frustration. We used a metal frame from a porch bench swing and used the s-hooks to hook the baby swing up to the frame. We happended to have the old swing frame because the nice cushions on it were ruined by the hot Yuma sun. If you don't have a frame laying around like we did you can probably find one at a yard sale or goodwill or some other re-sale store.

How about off the patio beams? or inside to the ceiling?

If it's the one i'm thinking of, do you have anywere you could put an "s" hook into & use it there?

You could get one of the small Little Tykes swing sets and just use it for the baby swing now. He'll grow into the rest of it eventually... when he's older you can put on the "big kid" swing and he can use the slide. I think they are a couple hundred dollars though.

We used a tree branch that was strong enough to hold it.