If you're in the sandbox level (or any level) you can activate game mode by clicking the controller icon on the top left corner under file.
If that's not the problem, you can add a new root template from the root template panel. Near the top of that panel you should see a red man icon, right click it to show only character root templates.
Pick one you want to use, place it on the level using the place tool (+sign looking button on the left bar).
Then click on your newly placed character and look on the side bar (right side). Scroll to about midway down the side bar and you'll see a line called "Player". Check yes.
Now if you turn on game mode (top left button mentioned earlier) you should be able to walk around with that character.
