.frag and .vert are opengl shader files. research "opengl frag and vert shaders" in your search engine of choice.
.states are finite state machines - read this https://pixelwolf.net/efpse/wiki/index.php?title=FSM to find out more
use notepad to make .states files. follow along with the manual/wiki to understand what they are, what they do, and how to use them.
to make opengl shaders you would need to know the opengl shader language. my opinion on that one is don't bother, but if you really want to learn about it i am sure there is plenty on the interweb