How do I add a walking animation to my forward button?

Animation
1

In the previous versions, you could simply specify a forward animation and a backwards animation etc.

However this option is gone in unity 5?

See:

At 5:26 you can see the option in the right.

How do I do this in unity 5?

2

Unity 5 uses mechanim; animations are controlled by state machines. Legacy animation still works, so this tutorial should still work (assuming you can find the animations - I recommend that you use the same model as the guy in the tutorial). But, the standard assets that he’s using aren’t accessible anymore - all the new ones use mechanim.

I would search for mechanim tutorials if I were you, or screw with the Unity 5 standard assets. That one’s obsolete. Since it seems like you’re just starting out, you should probably look at the learn section of the Unity website - there’s plenty of tutorials that cover basic mechanim state machines.