My employer sent my state taxes to the wrong state for 2015. How do I file for the correct state?

We moved to Montana from Colorado for a relocation within my company in December of 2014.  The HR department/payroll didn't change my state tax withholding's to Montana and subsequently withheld taxes for Colorado for the entirety of 2015.  How do I file my state taxes for the correct state "Montana" from a IRS perspective, as well as from a turbo tax perspective?  I tried to obtain a corrected W2 however my company said that after the taxes have already been reported they can not  send out a new W2.