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The Unified Modeling Language (UML) state diagram can describe a lot of things, from computer programs to business processes. State diagrams are used to describe the behavior of a system.  State diagrams describe all of the possible states of an object as events occur.  Each diagram usually represents objects of a single class and track the different states of its objects through the system. The following are the basic notational elements that can be used to make up a diagram:

• Filled circle, pointing to the initial state
• Hollow circle containing a smaller filled circle, indicating the final state (if any)
• Rounded rectangle, denoting a state. Top of the rectangle contains a name of the state. Can contain a horizontal line in the middle, below which the activities that are done in that state are indicated
• Arrow, denoting transition. The name of the event (if any) causing this transition labels the arrow body. A guard expression may be added, enclosed in brackets( [] ) denoting that this expression must be true for the transition to take place. If an action is performed during this transition, it is added to the label following a “/”. eventName[guardExpression]/action
• Thick horizontal line with either x>1 lines entering and 1 line leaving or 1 line entering and x>1 lines leaving. These denote join/fork, respectively.

Source: http://en.wikipedia.org/wiki/State_diagram

Tutorial: http://atlas.kennesaw.edu/~dbraun/csis4650/A&D/UML_tutorial/state.htm