If your Federal taxes were filed and accepted with direct deposit information, then you should receive your refund within 21 days of acceptance. Although most taxpayers receive the funds within 2 weeks.
Florida does not have Income Tax. Therefore, unless you are a Business, you do not need to file Florida taxes.
Probably there were entries made somewhere in your return which caused this message to appear regarding mailing your Florida returns. This will not effect your Federal return and there is nothing for you to mail to Florida.
The following information from Florida explains the type of taxes they collect:
http://www.stateofflorida.com/taxes.aspx
