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
courtesy of mike mckinley
those who succeed are only the failures that never gave up.