The instructions provided earlier by HelenC12 should work for you if you are using the Download/CD version of TurboTax.
In TurboTax Online, you don't get a "Did you get a 1099-B" question. Instead, when you get to the "Let's import your tax info" screen you should choose I’ll type it in myself in the bottom right. On the next screen, for the Broker name, type in something descriptive, like “Options” in the box, and leave the account number blank. Continue on, and you'll get to the screen where you can choose to "Enter sales one by one". You'll eventually get to the screen where you can enter the sale for which using the choice "....did not receive 1099-B form".
Either way, you do not need to attach a 1099-B when you didn't receive one.
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