It sounds like you have now set up your future unemployment compensation to have tax withheld from the payments you are receiving. Next year when you prepare your 2020 tax return, you will need to enter a 1099G from your state that will show the unemployment benefits you received; you will also be able to enter the amount of tax that was withheld from that unemployment benefit. Some states mail out the 1099G, but most expect you to go the the state's unemployment web site to get it yourself, so remember to do that at tax time next year.
**Disclaimer: Every effort has been made to offer the most correct information possible. The poster disclaims any legal responsibility for the accuracy of the information that is contained in this post.**
