I live in Connecticut and work in the State of New York last year. My W2 has CT income taxes deducted. When asked if I worked/received income in another state do I click yes or no?

I click Yes and selected NY. I have not summited my return yet. I'm reviewing it and I see a Non-Resident form (IT-203) form for the state of New York in my Turbo Tax Reviewed Package. I have not filled this form before and I work the past three years in NY.