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@Manoj Patra 

Where did you get that image that mentions the state download?  Is that a screen image from inside the program?  

If you bought a CD, what is the description under the product title on the front of your box?  And what does it say on the CD?  Which of these:

 

Federal Returns | Federal Efile

or

Federal Returns | Federal Efile | State Returns

 

ADDENDUM:

Or did you buy a download off of the Costco website?  I just looked there and saw the download of Deluxe Federal (no state) is 39.99, and Deluxe with state is 49.99.    I have no idea if Costco website will refund a download, but if not, TurboTax satisfaction guarantee should cover it once you provide all the paperwork they require.