IMO There aren't any dumb questions when you're just starting out. It's all in knowing where to look!
I HIGHLY recommend velojet's Building a Platform game - A beginner's guide. It covers not only animation but other great tips for building a platformer.
Even though the tutorial teaches what you need, I made a few changes to your project which you can find here:
I changed the walk animation to make it loop (done in the properties panel when the animation is open in the animation editor.)
I added several platform events for Sprite11:
X is moving (that is, is moving inverted)
Then for each of the events I added an action to set the animation for sprite11 to either walk or stay as appropriate. You can add more animations like a jump or a fall animation and use them instead of walk and fall for those cases.
If you want to add a run animation, then you would check the speed of sprite11. If it is less than a certain amount, set the animation to walk, if more set it to run.
Also, if your player is going to to be changing directions you need to make other changes to mirror the animation based on a key press. Those might require that you add a keyboard object so that you can test to see whether the left or right arrow key is pressed.