I have to choose a state from the drop-down menu to make it change?
The status change of orders in the workflow is manual. The order is managed with the workflow steps, in the Preferences. The sequence of the steps is decided by creating the workflow.
You can create your own workflow stage stream, for example: "My basic workflow" 1. Order created, 2. Payment received, 3. File validation, and so on.
An order status workflow is always assigned to a product on the site.
You can also modify the steps manually, by selecting from the drop-down list the different status order.