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Open in Delphi
packages/delphi/AllPackages.groupproj
from CGE directory. It’s a group of 3 packages:castle_base
,castle_fmx
,castle_vcl
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You can build all 3 packages at once by right-clicking and using "Build All" on the package group.
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Make sure your target is "Windows 32-bit" before installing. (Delphi IDE is 32-bit, you cannot install packages when your platform is Windows 64-bit.)
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Then install the packages. Click "Install" on all 3 packages.