This is a basic tutorial for how to get the AndEngineExamples working. 

1. Use Eclipse. Download and install the mercurial plugin.
2. Clone AndEngine and all the AndEngine extensions. The list of projects to clone is below this list. Clone them all to the same directory.
3. Open the AndEngineExamples project. Remove all references to libraries. Use the cloned projects as libraries instead since they are newer. To link source right click on the project and choose Build path, Link source. Link andengine and all the extensions. Use different names. See image to see how I organized it.
4. When you have no error warnings you should be able to compile the project. I got some problems with the physics plugin. RealMayo on the andengine forum got it working by putting a missing file in the libs folder. See his answer on http://www.andengine.org/forums/bugs/crash-when-running-the-totorials-t4640.html

Clone these project with Mercurial:

http://code.google.com/p/andengine/
http://code.google.com/p/andengineexamples/ 
http://code.google.com/p/andenginelivewallpaperextension/ 
http://code.google.com/p/andenginemodplayerextension/ 
http://code.google.com/p/andenginemultitouchextension/ 
http://code.google.com/p/andenginephysicsbox2dextension/ 
http://code.google.com/p/andengineaugmentedrealityextension/ 
http://code.google.com/p/andenginesvgtextureregionextension/ 
http://code.google.com/p/andenginetexturepackerextension/ 
http://code.google.com/p/andengineexamples/ 

For a more detailed tutorail on how to set up the AngEngineExamples I recommend this youtube tutorial:
http://www.youtube.com/watch?v=JVmuKPHAC8k 

For those who are looking for jar files to AndEngine:
http://www.andengine.org/forums/tutorials/to-everyone-looking-for-jar-files-t4686.html