Maybe, you have to reinstall the GameStudio, I see the version number 8.02 in my starting window, although I thought that it is the latest version, and I have the option to import from fbx...

http://www.puppenheim.org/
http://www.wuerfels-welt.de
Old Game Tutorial: http://www.puppenheim.org/MITutorial.zip
Free Game Editor: http://puppenheim.org/AlienalsWeihnachtsmann.zip
http://www.puppenheim.org/blender_starting_main_settings.txt