IMPORTANT: following videos show how to download andengine GLES2 version, it is NOT latest version, most recent one is andengine gles2 anchor center! You can get it from this github (official from andengine creator) - just make sure to use proper branch - LINK.
If you wish to know how to setup the latest AndEngine, please check the video made by RealMayo. It is a detailed tutorial about how to setup Eclipse, Android SDK, download and install the latest AndEngine and how to run the AndEngine examples. This videos show how to install the latest version of the engine (which is the GLES2 version) if you still don't know, what the difference is between GLES1 and GLES2, please check THIS article. If you are interested in how to setup the GLES1 version of the engine, you can also check RealMayo's channel - he has also created tutorials about the GLES1 version. There are two parts to this tutorials (2 videos)
You can also check the DOWNLOAD section, to download the necessary software, and also some useful and free programs, to help you develop your applications much quicker. After watching these tutorials, you should check the rest of my tutorials, you might find them useful for getting started with this engine!