Unless you live in a U.S. or Foreign Possession, just pick one of the choices in the drop-down menu (e.g. U.S. Virgin Islands).
The only reason the program asks this question is to determine whether the exempt-interest dividends are subject to your state's tax - they will be tax-free for federal purposes no matter where they were sourced.
Exempt-interest dividends from a state other than your own will be taxed by your state.
