This sounds like the kind of message you get in the Review of a state.
It appears that you can make the change or enter the missing piece of data right there in the Review, but instead you need to go to the original source of the data and enter it there.
For example, if this were referring to a pension/annuity distribution that Illinois needed some more information for, go back to the federal return and open the 1099-R in question and complete the data entry there.
Of course, we in the Community cannot see your tax return nor the screen you are on, so this is just an example. Please look at the Illinois message and determine where you would have entered this information on the federal return, and go and enter it there. Afterwards, go through your state return again to populate the missing information.
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