Here're some resources for this part:
Create new folder named font in assets folder of the project
Copy font file above to the folder assets/font
Create new class named ChangeableTextExample in the package org.anddev.andengine.examples of the AndEngineDemo project, here is the code of this class:
package org.anddev.andengine.examples;
import org.anddev.andengine.engine.Engine;
import org.anddev.andengine.engine.camera.Camera;
import org.anddev.andengine.engine.handler.timer.ITimerCallback;
import org.anddev.andengine.engine.handler.timer.TimerHandler;
import org.anddev.andengine.engine.options.EngineOptions;
import org.anddev.andengine.engine.options.EngineOptions.ScreenOrientation;
import org.anddev.andengine.engine.options.resolutionpolicy.RatioResolutionPolicy;
import org.anddev.andengine.entity.scene.Scene;
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