The model is parented to an empty cube to allow you to place the Strandbeest, control the rotation, etc. 

There is an arrow empty parented to this cube empty - move this along the X axis to rotate the mechanism and observe the walk cycle. 

If you want to animate the walk cycle so that the mesh actually moves along the X axis, you could either add keyframes to the arrow and cube empties (i.e. move them the same distance along X axis for certain no. of frames) or re-parent the arrow to the cube.

A quirk of this design (as in the real-life model) is that the walk cycle is quite slow - the fans rotate hundreds of rotations for only small distances walked. You may need to tweak your animation settings to get good looking results as blender doesn't always preview this high speed rotation very well.