I wanted to add to what TurboTaxNancyG stated above as, in my situation, I was still a bit confused. I use the ability to download an ADP W-2 to kick-off my tax preparation. However I have the same issue where the company I work for is based in Canada and thus W-2 reflects that. Read a couple of responses here including this one. Problem was, in the Wizard area, you cannot edit a downloaded W-2.
I found a couple of tricks to get around this:
Easiest was to click the "+ Add W-2" button which takes you to the "Here's your W-2 info". Here you can now "Edit" the downloaded W-2. Select "Other" for "Location" and then you can select "Foreign Address".
You can also click the "Forms" icon at the tope and locate the actual W-2 form in the listing on the left.
For both approaches above, in the "City" field enter "<city>, <province>, <postal code>" as each appears on your paper W-2 form. For "Country" in the wizard, select the appropriate country. "Canada" in my case. On the form, put the country code, "CN" in my case, in the "Foreign Country" field.
