MS CRM Dynamics 4.0 incorporates the MS WF engine. The built in designer allows the creation of sequential workflows whos activities have native access to CRM entities.
It is NOT possible to create a state machine workflow for use in MSCRM.
It is also not supported to create any workflow outside of MSCRM and import it.
As a work around you could write either all the logic you need into a custom workflow activity and import that into MSCRM and have it called from a normal workflow.
The other option is build a seperate application which runs a state machine workflow and interacts with MSCRM via the web services. You could (would need to?) combine this with a custom workflow activity to kick off processes.