Your question is being posted from online Deluxe. When you use online software there are separate fees for federal and state returns. Those fees are the same whether you e-file or file by mail. So--printing and mailing from online Deluxe does not make it free. You pay whether you e-file or mail it in an envelope.
If you want to delete the state return completely and go to your state's tax site to prepare it, you can try that.
https://ttlc.intuit.com/questions/1900608-how-do-i-delete-my-state-return-in-turbotax-online
Yes, you can prepare one state at no additional charge in TurboTax Desktop in all versions except Basic. If you are using Basic, the state download is extra.
State e-file is an additional charge in all versions.
I'm not sure why you can't continue. Once you finish your returns, you are asked about how your want to file your returns in the file section. The federal option comes first, then the state. You can e-file your federal and select Print and mail for your state.
If you are really using the CD/download
E-filing fee in desktop software
Did you purchase desktop software with state software included? They sell Deluxe both with and without state software--so you have to be careful which one you choose. And even if it does have the state software download included, that is for preparing the state. There is an extra fee to e-file the state. Before March 1 that fee is $20; after March 1 it increases to $25. You can avoid the state e-file fee if you print and mail the state instead of e-filing it.