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Before a character model can be used, it must first be imported into your project. Unity can import native Maya (.mb or .ma) and Cinema 4D (.c4d) files, and also generic FBX files which can be exported from most animation packages (see this page for further details on exporting).
To import an animation, simply drag the model file to the Assets folder of your project. When you select the file in the Project View you can edit the Import Settings in the inspector:-
See the FBX importer page for a full description of the available import options.