Some problem to integrate HDL Import block in Advanced design

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Actually I have already followed that chapter, what I wanted to do is to interface my datapath designed with the Advanced blockset (subsystem1) with a finite state machine that I have in a file .vhd (subsystem2). In the subsystem2 I have just the block HDL Import.

Is it possible what I want to do?

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You could route all the inputs to the state machine out of the advanced part of the design as outputs into state machine and then route the results back in. If the state machine is essentially in the middle of your datapath then this might cause problems if the signals go through the same ChannelIn/ChannelOut blocks as the main input/output of the system.

In this case you could try making the inputs/outputs go through GPIn/GPOut blocks although this can often lead to simulation mismatches in Modelsim.

Without seeing a design it's difficult to say anything more.