Just something else to note, if you don't want to use component declarations then you can instance the component with this syntax
my_control : entity work.FSM(Behaviour)
PORT MAP(start, clock, resetn, reset, enable, load);
This has been possible since the VHDL 93 standard, although I use component declarations which were mandatory in the VHDL 87 standard (which almost nobody uses anymore) and I am stuck in my ways as an old school vhdl'er!