I downloaded the source using
hg clone https://code.google.com/p/andengine/ andengine
And I'd like to know what the next step is to use andengine with maven.
You should build the andengine first to create a jar file to be used as a dependency in your project. It seems andengine is using ant to build the project so that should work. (You could also put andengine in its own maven module, use the ant mojos from maven to execute the build and put the jar in the local repository. But there will be new version and that may turn into migration work, I would split this task into andegnine and your project).
From there you can use the groupId/artifactId you chose above (to store the .jar in your local repo if there is no repository proxy in place) in your project.
You are getting AndEngine from the wrong place, the project now lives on GitHub: https://github.com/nicolasgramlich/AndEngine The Google Code repository is now probably very old and buggy!
On getting it from GitHub, see this thread.