Many people have already answered here, and I think they are all right:
But I also want to include my answer, because I started as a newbie to AndEngine, and now I'm still a newbie, but with a little knowledge than before.
1) Install the AndEngine APK from Google Play, check all the functionality that this engine shows in this, look, make is possible with all these tools in the APK.
2) Once you are ready, go to the github AndEngine page and install it.
3) Change the example (MOST IMPORTANT), you will not know what AndEngine is, and what it may or cannot do if you do not select examples in the AndEngine library.
4) Now you have a basic understanding, so its time to start the game.
5) Go to the matim-dev blog on how to make a complete game tutorial, this is the best andengine tutorial so far on the Internet.
6) If any problem asks your question on the andengine forum, well they never answer quickly, but all the problems you encounter are already discussed there, so there is no problem just go for it and run AndEngine.
Pros and cons of AndEngine so far for me:
Pros:
i) not documented, but still you can easily configure the code and understand very quickly. ii) Using Box2D is great for this, Animation Sprite is working fine.
against
i) Very slow compared to other structures, removing and removing bodies and sprites is very awkward, after 3 months of AndEngine development today there are also problems with removing sprites and disconnecting bodies in AndEngine.
ii) Google Ad Attachment is a nightmare on AndEngine.