For some reason I have been struggling with this problem for the past couple hours.
I believe I have solved part a.
Since there are 6 states (assuming a standard die and the die is fair), then there is an equal chance of landing in any of the 6 states for every dice throw. Therefore I concluded that the transition matrix looks as such:
[1 0 0 0 0 0]
[0 1 0 0 0 0]
[0 0 1 0 0 0]
[0 0 0 1 0 0]
[0 0 0 0 1 0]
[0 0 0 0 0 1]
For part b I setup my starting matrix as:
s1 =
[1]
[0]
[0]
[0]
[0]
[0]
I multiplied my transition matrix by s1 5 times and arrived at the same vector s1. Arithmetically, this makes sense. However, logically it does not.
Can somebody help explain where I went wrong?
Edit: Based on the answers I believe the transition matrix would be:
[1/6 0 0 0 0 0]
[1/6 2/6 0 0 0 0]
[1/6 1/6 3/6 0 0 0]
[1/6 1/6 1/6 4/6 0 0]
[1/6 1/6 1/6 1/6 5/6 0]
[1/6 1/6 1/6 1/6 1/6 1]

Hint. The entry $m_{i,j}$ in the transition matrix is the probability to go to state $i$ at the next throw given that you are currently in state $j$. Therefore it is lower triangular, but not quite the identity.
E.g. if you are in state $4$ you have a $4/6$ chance to stay in state $4$. Therefore $m_{4,4}=4/6$.