A Muslim strives to establish the law of Allah in the land. This is done by implementing Quran and Sunnah everywhere we go to.
Striving to establish a Muslim state is quite vague. One has to know the means that would lead to such objective. If it includes rioting or rebelling against the rules and causing bloodshed, this is not permissible. But if it means getting into parliaments and joining politics for a higher cause, this is debatable and I wish it is permissible providing one avoids voting on forbidden things.