If you are really talking about a W-2, don't worry about the address on the W-2. Taxing authorities key off the name and the EIN of the employer. They ignore the address on the W-2.
If you are talking about your address on your state return, then the state return is using the same address as on your federal return. If the address is wrong on your state return, it's wrong on the federal return as well - go back to My Info or Personal Info to change it.
NOTE: your address on the federal and state returns is the location at which you collect mail. You do not have enter an address in the state in which you are filing. All the taxing authorities want to know is where to send notices to.