It depends on the chosen method (there are a few). Usually, most people will use blender scenes to store levels, and transition to those scenes using the “set scene” actuator. Another option would be to have multiple standalones (one for each level), which you could then load with the “start new game” actuator.
And yet another way would be to have a single scene, and a special loading function using “add object”, which could build your level just using data from a file (this would require python).
How do you merge multiple meshes to a few bones?
Hmm, I’m not really a “bone” expert, but I think you’d have to merge multiple meshes into a single mesh, and then set the bone rig for that one object.
What are the basic steps of making a Game in Blender?
There is no general methodology. In short, it’s whatever “basic steps” you feel comfortable with.
However, I would recommend that you read this tutorial:
How do you make a landscape similar to a Zelda games landscape in Blender?
By modeling, and texturing a landscape similar to a Zelda games landscape.
How do you make a model move a certain way when you press a certain way?
Search the game engine forums for an “armature” tutorial. Something should pop up.