It sounds like you are using desktop software (CD/download). What all are you doing? And what tax year? Are you preparing an original return? Revisiting a prior year? Preparing an amended return for one that you originally prepared online? Are you using a Mac or Windows PC?
If a *.taxYYYY data file has a state return in it, the desktop software will not know how to handle it unless the state program is installed first. So it can't open it until it has the state software installed. Does your data file have just a single state in it, or does it have more than one?
Have you downloaded the state program into your software? To download it, you may have to start a fake new return in the software just long enough to download the state program.
