You will need to file two state income tax returns. Colorado and Montana do not have a reciprocity agreement. 

The state you are a resident of has a tax claim on all of your income earned. The state you worked in has a tax claim on any money earned in the state. 

If you were a full-time resident of one state and went to work in another state for a short period of time, you would file and pay taxes in the second state as a non-resident. You would take a tax credit in your resident state for the tax you paid to the non-resident state. The income you earned in the non-resident state would appear on both returns. 

To enter this correctly in TurboTax, you should enter the non-resident state first, and then the resident state.