EDIT: This was typed at the same time as Johnar's response, apologies for any repetition.
The process is as follows:
Object mode: Build your character. Best to build it as a single mesh if you want joints to bend organically, separate objects for each body type if you are building a robot, insect or some other exo-skeleton-type critter.
Figure mode: Build your skeleton and attach your object(s) to it. For organic (single mesh) objects you will need to 'skin' the object, which allows it to bend with the skeleton. There are two methods of doing this in Anim8or, both of which are best understood by reading the manual.
Sequence mode: Insert your figure and keyframe your motion sequences, as many as you require (eg. raise an arm and wave, walk forward, turn around, walk away).
Scene mode: Insert your figure as a scene element, along with any background or environmental objects and effects, and apply the sequences in the required order to build your animation.
I STRONGLY urge you to give the manual a read-through and have it at the ready while you are working, there are too many possible hurdles for me to attempt to address at this early stage. The forum will be of best use to you with specific questions, and always do a forum search first since your questions have likely already been answered in other threads. Welcome to Anim8or and good luck.