You will want to report all the information on one W-2 in TurboTax. Use the Add a State button to put all three states on the same W-2 with the federal information. As your resident state, Colorado has the right to tax all your income, including your unemployment. You will have to file a return there.
Even though California paid your unemployment, unemployment is not taxable by California. You are probably not required to file in California. You can check the exact requirements here to see if your income exceeds the minimum to file.
Montana has a lower filing threshold than California, but you are still not required to file based on the information you gave here. You can check the requirement here. Note that this does not include your unemployment income.
Even though you are probably not required to file in Montana or California, filing those state returns is the only way to receive a refund of any state taxes that were withheld by those states.
