In my Answer below have provided a screen image on that question and how to indicate a non-US "state". You can step through the MY INFO section to change your answer, OR if you had finished that section, you may instead come to a Personal Info Summary screen. If you come to the summary screen, scroll way down to the last category where it says "Other state income" and click the small EDIT link to the right, and it will open that screen back up to make your change. See my answer and image below for the rest of the info.
