Though some CGE developers lurk also here

Basically:
- Download latest Castle Game Engine from
https://castle-engine.io/download , in any form (on Windows, self-extracting exe is most comfortable). It's a 7.0-alpha-snapshot release, we're working intensively on 7.0 release. Do not use anything from the Internet related to ancient 6.4 release

- Follow the manual on
https://castle-engine.io/install .
In particular, to make Lazarus know CGE packages, be sure to do this:
"""
In Castle Game Engine editor Preferences, go to tab FPC and Lazarus and click on the button "Register Lazarus Packages".
"""
Note that you do not strictly need Lazarus integration -- you can build from CGE editor, that executes FPC directly, and doesn't care about Lazarus packages.
But if you want to open a CGE project in Lazarus and press F9 e.g. to use Lazarus debugger on CGE projects, then above ("Register Lazarus Packages") is exactly what you need.
If you're looking to put TCastleControl on LCL form, then also look at
https://castle-engine.io/control_on_form .
Hope this helps!