How do I create a new animation?

By this I mean how do I create a new animation after already having one made? For example if I made a run animation and I would like to make a walk animation with the same armature.

You can create a new action
http://www.blender.org/manual/animation/basics/actions.html

Is anyone sure how to connect a mesh to an armature. I basically made a sword and a quick human and without thinking I created the animation for an attack. Can I then attach the attack after the animation is completed?

“Can I then attach the attack after the animation is completed?”
if you by this mean, attach the mesh to the armature after you do the animation, then yes you can do that.
the armature has a pose, and rested mode. simply set it to rested mode when you want to work on the mesh, or in this case, attach the mesh to the armature.

to attach the mesh, select the mesh !THEN! the armature! and click CTRL + P. make sure you dont select the bone first, i’ve done that misstake many times, and been unable to figure where the bone options was…

anyway, from there, select With automatic weights. this should give you a good enough deformation, and if not, lean how to tweek it.

Ive done this and its telling me there is a loop in parents.

select everything and alt P to clear parents