You need to look into a couple of things here;
- ending one *.blend file and loading another
- carry over any player stats
- carrying over items
Whilst the first should be relatively easy - you should be able to do it by placing a simple 'trigger' into one level that quits and then loads into another. The other two probably won't using Blender Game Engine without some form of scripting that saves user data somewhere.
I've not looked into this specifically so I'd recommend searching through the
BlenderArtists BGE sub-forum, pretty much anything you can think of asking specifically about BGE probably has an answer there - I/we can answer more generalised issues/principles about game development.
Also... take a look at any BGE exe's you find,
http://deadcyborg.com is a good start.