I was going to do the tutorial here…
http://en.wikibooks.org/wiki/Blender_3D:_Noob_to_Pro/Furry
But right under the picture when I get here “go to the object tab and click on the physics tab”, I have trouble. When I go into the object tab there is no physics tab under that. Help is appreciated thank you.
Assuming you are using 2.4+, select object, press F7 (Object Palette), see the little flame/particle button to the right? That’s where you want to be. (You just misread it a little)
I’ll have a bit of a read through and see if I can edit the wiki tutorial a little for future reference (though I don’t know the first thing about particles, physics, game engine or fur 
)
EDIT: I reformatted the wiki article and added a screenshot. Hope it makes it a little clearer.
(Or Press F7 repeatedly to “cycle” between the “Object” and “Physics”
“subpanels”
The Object (F7), Shading (F5), and Scene (F10) panesl all have “subpanels” asssociated with them, which can be accessed either by clicking on the “secondary/sub-panel” icons to the right of the “main panel” icons, or by repeatedly pressing the associated hotkey (F5, F7, F10)
The Shading (F5) panel has [Lamp,Material,Texture,Radioisty,World] subpanels
The Object (F7) panel has [Object, Physics] subpanels (The “object” subpanel should probably be renamed)
The Scene panel (F10) has [Render,Anim/PlayBack,SoundBlock] subpanels.
Mike