This article presents the development of the serious game PROEZA, for training users of a brain-computer interface system for control a hand prosthesis. The document describes the integration of electroencephalogram signals captured by an Emotiv Epoc+ headband, with the Unity video game engine. Also, it is presented how control commands are generated for the video game and for a handheld prosthetic device from these signals, basis of brain-computer interface systems. In addition, a protocol for validate the skills of the users to control the signals of the brain-computer interface system is proposed, based on evaluations before and after to training in PROEZA. The experimental results, after tests carried out on 2 users, show that the proposed protocol promises to be an appropriate strategy to evaluate the ability of users to control the brain-computer interface system and opens up the possibility to develop multiple physical and neuro rehabilitation applications using of serious games.