I work in Illinois but live in Wisconsin. My employer took IL taxes out of my paycheck so my taxes have gone to IL. What do I do?

The turbo tax software says I need to file a return in both illinois and Wisconsin but the way it's set up it looks like it wants me to pay the same tax twice.  I've filled out a form on the Wisconsin tax return (a schedule) but it didn't have any effect?  What do I need to do?