Leslie Sanford has written a framework and tutorial on implementing State Machines in .Net. She provides an solid and well written set of base classes for implementing your own state machine in your applications.
A .NET State Machine Toolkit - Part I - The Code Project - C# Programming
This is the first of three articles about my .NET State Machine Toolkit. This article will cover the classes that make up the core of the toolkit as well as how to create a simple, flat state machine. Part II will cover creating hierarchical state machines as well as some of the more advanced features. Part III will cover code generation as well as creating state machines with XML. Special thanks to Marc Clifton for suggesting how I could break up my article into several parts. I had been struggling with this, and his suggestion made things clear. Thanks, Marc!