The state return should be in the same file as federal. Can you open your return in the program? Have you ever switched to Forms mode and looked around? I think you get separate emails for federal and state when you efile. 2 each, the first email confirming you submitted it and a second email saying if it was Accepted or Rejected. And you can check inside the program, For the Desktop program you have to check the filing status inside the program. Open your return and go up to menu item
File > Electronic Filing > Check Electronic Filing Status
