Wisconsin has an income tax reciprocity agreement with Illinois, under which residents of one state that work in the other are required to file a tax return and pay taxes only in the state of legal residence.
However, since you had tax for both states withheld, prepare a Non-Resident return for IL first, then your Resident WI return.
See if you can get your employer to start withholding only WI taxes, so that you can file only a WI resident return in the future.
Here's more info on How to File a Non-Resident State Return.
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