Q1: What exactly is an engine? I know that when i push a button engine says which action it's relayed to but, what is it exactly?
A1: An engine is another name for the part of a game that generally has (and displays) the game to the player. It usually contains a graphics engine (to display things), a interface/control engine (to handle input from the player, like key presses, mouse movements, etc), and many other things, like game physics, etc. It all depends on what the particular Engine offers to it's overall functionality and features. Crystal Space is a Gaming engine (though it can be used for many other things other than just games) which has plugins, or modules that add functionality to the core part of the system. [Sorry, trying to keep this short and simple isn't the easiest thing to do].
Q2: Why, when I start Blender, it says that application failed to because MSVCR71.dll was not found but then starts. I think It has something to do with Python since it first appers when compiling with it. It appers again just after "OK" but this time it's because "'import site'" failed. -?
A2: I am not exactly sure what could be causing this problem, sorry.
Q3: Am I supposed to import characters in the engine? If yes, how can i remove them from there?
A3: Generally you need to program, or script what you want the engine to do. It can be as simple or as complicated as you want your game (or whatever) to be. Generally to get anything to display in Crystal Space you need to import your characters, the world they're in, and pretty much everything else thats needed. Usually this importing is done from your program (or script) and you would also need to write the code for removing, or deleting them, and other things from the engine (or your game).
Q4: When I unpack blender2crystal all files are just - files. Even readme is not .txt. So what should I do with it?
A4: Firstly, what you can do is click on the readme file, press F2 on your keyboard, and type in 'readme.txt' and press enter. This will make the readme file a .txt file. From there you may want to do a similar thing for the 'install' file, (to make it 'install.txt') as it the instructions on how to install the blender2crystal files into blender.
Q5: How do I make a character move in game? I don't understand linking code and models. So if someone will explain..
A5: If the character is the player then you will need to code that into your program / game, so that, for example, the up arrow moves you forward, the down arrow moves you backwards, and the left and right arrows turn you left and right respectively. If you take a look at the documentation it has some of the examples on the basic setup for simple player movement.
Now, if you are meaning getting other characters to move with-in the game/program, then you need to also code that into the game. There is an addition that is available for using with Crystal Space called Cal3d, it can allow you to manipulate, and animate characters within Crystal Space. It allows skeleton (and joint) movement information to be used, and animated within the engine.
So, as you can see, there is a lot that you need to learn to do to get things working as you want. I myself am still trying to learn Crystal Space so I can use it for a personal project, and by looking over my answers I supplied above, you can see that it can be quite an undertaking to get something that you want. But that is all part of the fun of this, it challenges you (and me).
With some of my answers, I could have gone into more detail, but it could well have lasted pages. But I just hope that what I have provided will help you out in some way. If you still want me to try and help further, just post them here, and I'll see what I can do.
Best of luck,