There are typically four copies of the Form W-2 that your employer will issue to you. One copy is for Federal (Copy A), two are for state and local (Copy B & C), and the last one you will keep for your records (Copy D). You would need to attach one of the copies of the W-2 to your tax return, specifically the Form 1040-A and mail it in, if you are filing your tax return by mail.
Note: If filing by mail, there should be an instructions page that will print along with your tax return.
