you have to bind it. Either smooth bind or rigid bind, depending on how complex or what type of character it is.

under (animation). Go to Skin > Bind skin > Smooth Bind or Rigid bind.

This will attach it, but there is more work to do. You have to paint weights so the geometry moves correctly.

2 ways of doing this.

Either paint it manually, or use the component editor. Both a bit tricky for noobs, however, quite tedious. Personally i prefer component editor.

Bit too long to explain so i'l post a link

https://www.mtmckinley.net/tut16.html

courtesy of mike mckinley