I presume you mean a W-2, not W-4.
It can also say "zip code" is wrong if something else is wrong with the address.
First, be sure you are using the correct state abbreviation. AR=Arkansas, AZ=Arizona, etc.
If there is punctuation in the street address or city name, try without it, such as:
123 N St Marys Ave instead of N. St. Mary's Ave.
Look up the official address listing at the USPS website below to see how the USPS stylizes the address:
https://tools.usps.com/go/ZipLookupAction_input
