A statemachine is always created in the context (either a classifier or a behavioral feature) that the statemachine is supposed to describe. To build a new statemachine associated with a given context, open the pop-up menu of the corresponding classifier or behavioral feature by right-clicking on it in the model browser; then choose the "Attach StateMachine" menu-item. This creates a new statemachine, which appears as a sub-component attached to the chosen context in the model browser, if you unfold it. To edit the statemachine, a statechart diagram can be attached to it.
To do so, open the statemachine pop-up menu by right-clicking on the statemachine model-element in the model browser; then choose the "Attach StateChart Diagram" menu-item. This creates a new statechart diagram representing the statemachine, from which you can add appropriate states and transitions. States and transitions created from the diagram are automatically reflected in the model browser as sub-components of the statemachine, following the same hierarchical structure.
Click, with he right button of the mouse when the mouse cursor is on the StateCharts window area. This opens a menu which allows the creation of elements.