Possibly the biggest drawback of AndEngine is that documentation is sparse - originally there was only the code for the sample projects to guide you. The situation is not a lot better, but there is an active community of developers to help with any problems, and an increasing number of independently produced tutorials.
To use AndEngine in your own apps, you import the AndEngine Java archive (JAR file). You can find precompiled versions of this JAR on the web, but these are often out of date, and it's not hard to create your own JAR yourself from the source code. This is what I cover in the following section.
Building the AndEngine JAR from Sources
First thing to do is get hold of the source code, which is made publicly available as a mercurial repository. You can use any mercurial client to do this, however there is an Eclipse mercurial plug-in available from the Java Forge update site. Go to Help > Install New Software.. enter http://cbes.javaforge.com/update in the Work with textbox, and install the MercurialEclipse plug-in. Obviously don't install the 'recommended' Windows component if you are not on that OS.Choose File > Import.. and clone the AndEngine repos you want. Repeat the procedure for each repo, this time choosing to import an existing local Mercurial repo in order to create the Eclipse projects.
The repo URLs are:
https://code.google.com/p/andengine/
https://code.google.com/p/andenginephysicsbox2dextension/
https://code.google.com/p/andenginelivewallpaperextension/
URLs for other extensions are listed on the Google code site. You'll probably see the following error in the Eclipse console for each of these projects:ERROR: resource directory '/home/xavier/lib/andengine/andengine/res' does not exist
This is simple to fix by creating the folder in question. Right-click the project in the Eclipse navigator, choose New > Other.. > Folder, and give it the name res. The little red cross by the project should now disappear, indicating there are no more errors, and we're ready to build our JAR files.Right-click on each project in the Eclipse Navigator pane and choose Export.. In the dialog that appears, choose JAR file in the Java group:

On the next screen of the dialog, you must first uncheck all the items in the top right-hand pane such as .project, .hgignore and the rest. Then enter a name and path for the JAR file and click Finish:

That's it done! Now you just have to add these JAR files to any projects you want to make with AndEngine.