Alright, round # 2.
This is a very vague question. What exactly do you need assistance with? I don't really think anybody here is going to "teach you" how to make a game, so be sure to be specific.
This requires Animation files. Your game will be limited to the animations you own. Check out @darkxside's links above, or browse the Unity asset store.
THIS POST is a collection of our knowledge about Mecanim, here on the plyoung forums.
I would also recommend you watch Unity videos about Mecanim, such as THIS ONE, as well as Mixamo videos about Mecanim, such as THIS ONE.
Yes, give your Player GameObject a "Basic Mecanim Control" component.
This sends basic information, or "parameters" from your "Character Controller" component to the Mecanim animator window (forward, leftright, etc.)
Which tutorials did you watch, that didn't help? What videos do you wish exist? (they might)
I don't mean to discourage, but the original question of the thread was "How do I make a game" and that's asking a whole lot out of complete strangers, especially when you didn't even capitalize and punctuate your question.