I get the error message that this dll needs to be installed. Where do I get it and where do I install it?
It’s in your Blender directory (on Windows the default is C:\Program Files\Blender Foundation). Copy it to whatever directory you have your game in. Also, you’ll need SDL.dll (all versions) and pthrdVC2.dll (this one is 2.42a only). Both of those are in the Blender directory as well.