When I start blender it appears in the System Console.
I’m using Windows Seven 64 bits and Blender 64 bits.
When I press p, to enter in game mode, nothing happens. I must to change the render mode to Blender Game mode and go to Blender menu > Start Game Engine item. But in this case I cannot exit from the game pressing ESC.
To solve that I’m temporally using the .zip version of Blender.