Copy the the Core Engine files to your typical VCL directory and add the path to your Delphi Library Path (Tools -> Options -> Environment -> Delphi Options -> Library Path).
Example:
You have copied the files to "C:\Users\{your name}\Documents\RAD Studio\Vcl". Now go to options and add following lines to the Library Path
"C:\Users\{your name}\Documents\RAD Studio\Vcl\Core\Source"
"C:\Users\{your name}\Documents\RAD Studio\Vcl\Core\DirectX"
"C:\Users\{your name}\Documents\RAD Studio\Vcl\Core\OpenGL"
Fore more info, you may read the WIKI at https://github.com/Arsanias/Delphi-Core-Engine/wiki