In order to calculate the expected annual return on the market portfolio, you must first calculate the return on each individual asset and then weight the returns, with the weights being equal to the market capitalisation amounts. To calculate the return on each individual asset, you would proceed as follows:
E(X) = Return in state 1 x Probability of state 1 + Return in state 2 x Probability of state 2 + Return in state 3 x Probability of state 3