Hello,
I can’t seem to find any place on the internet to download Mecanim. I thought it comes with Unity 4, but I am only limited to using the animation features that I get through Ctrl+6.
Mecanim is accessed via the Animator component, and the state machine is shown in the Animator window (underneath “Windows”). You should probably take a look at the Mecanim documentation: http://docs.unity3d.com/Documentation/Manual/MecanimAnimationSystem.html.