The FSM must be complemented by a Mecanim animator graph, as each state involves a unique animation and each one should play at the appropriate time. You create a new animator asset simply by right-clicking inside the Project panel and choosing Create | Animator Controller from the context menu; name this controllerEnemy.
Ensure that you add this as an Animator component to the zombie in the scene by dragging and dropping the asset from the Project panel to the mesh in the Scene Viewport:
First, create a new animator integer parameter and name it