State machine functionality in WF 4 will be a part of the upcoming Multi-Targeting Pack for Microsoft .NET Framework 4 Platform Update 1 (KB2495638). To create State machine workflow applications in Visual Studio 2010, the MT Pack for .NET Framework 4 Platform Update 1 will be required. This update will be downloadable soon at under this link.
More information about this you can find here.

Damir

Read the complete post at http://developers.de/blogs/damir_dobric/archive/2011/04/11/workflow-state-machine-support-for-net-framework-4.aspx