hy , i`m new and i have some nubs questions ..
How to install this engine ?
When i run world builder or other .exe i receive an error...

you need to download the SDK ( http://www.esenthel.com/download/EsenthelEngineSDK.7z ) and unzip it. check that the file downloaded correctly.
what error? please explain more in detail...

I receive this error :
http://img51.imageshack.us/img51/918/errora.png
i`m using windows xp sp1

it is very possible you're using old CPU with no SSE2 support.
engine requires these functions.

what's your CPU?