As far I can see here it goes this way(didn't test it jet, my own tests are too long ago):
Object (F7) -> Physics buttons -> collision -> bake

Don't forget to save the blend-file before exporting.

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