Hi,
Ok, Something very important for anyone starting with Mecanim. It is quite a difficult beast to master properly for sure. So start in small incremental step and it's very important you read as much documentation as you can to get acquainted with the vocabulary and concepts. I had to go down that road too...
You won't be able to hack Mecanim around...
animations can be of several types, if you start importing anims, you need to import them with type "humanoid" for them to be retargetable within mecanim. So select your anim, and in the "Rig" tab, pick "humanoid" for the animation Type, and click Apply.
Now that anim becomes possible to work with within your locomotion controller, and in states you can link now to that animation.
Bye,
Jean