Coupling Animation and Navigation Example Is Not Working

I downloaded the example NavigationAnimation_45_and_50.zip from the Coupling Animation and Navigation section of the Unity Manual (http://docs.unity3d.com/Manual/nav-CouplingAnimationAndNavigation.html), unzipped it and opened it with Unity 5.3.4. There is a scene.unity file under the Assets directory but only a NavMesh.asset file under the scene directory. Running the scene, I get the error message "Failed to create agent because there is no valid NavMesh" on Windows 10 using the editor. How do I fix this?

 

The example couples animation with NavMess, you should build a valid navmesh first that your player can use. see: http://docs.unity3d.com/Manual/nav-BuildingNavMesh.html