There are a lot of other great tutorials that discuss this in depth but basically he has three states and global events on them.
Luckily he clicks on each one to show you what is in each state so first we should know what a state is!
to create the three global events the he has you select the events tab and add idle, walk, run and then click on the check boxes next to them. Now right click on your states and you will see add global transition, here you can copy what you see in the video.
Then just look for the action that he is using for animation and add it into your states and copy the info he has into each of your state.
Lastly, when you run the game you can hold ALT and click on the state to run it.
