I just downloaded blender 2.41 and i keep hearing about the game engine for it. Is it already included or is there a site I can go to to get it? I want to use blender for my game.

It is already included in your copy of Blender

Hold on now. Blender game engine? Is that a full blown 3d engine for making your game? I've heard something about it but never really made the connection. If so is it any good?

yes. http://download.blender.org/documentation/NaN_docs/BlenderGameReference/ketsji.html
Some mmorpgs have been made with it. Not as good as Torque/Source nor even free ones like ogre.

They have made a whole new physics engine for it, and they are planning to make an Ogre3D plugin