If you are saying that the state for your address as the recipient is incorrect on your Form 1099-DIV, then that should not be a problem. Just enter the numerical information included as part of the Form 1099-DIV. As long as your Social Security Number is correct, that is more important than the address.
The address information for Form 1099-DIV is not entered as part of your tax return, but you may want to notify the company that issued the Form 1099-DIV that your address is incorrect.