State tax filing

When you begin your state taxes, prepare your Colorado state non-resident return first. Then prepare your NM resident return last. As you prepare your Colorado return,  There will be an income allocation screen for your wages and the grant money. You would allocate your entire wage income to Colorado but none of your grant money.  You would indicate this by putting a 0. 

After both states are complete, you should receive a credit in your NM return for the taxes paid to Colorado. Here is what the Colorado allocation screens should look like.