The only time I can see that might happen is if either:
1) you bought desktop, but are somehow using the online browser-based software instead. (they are not the same thing. You may know that, but not all users recognize the difference))
or
2) The wrong disk got into your package.
Probably #2...and you need to call Customer Support and get them to stick a state installation file in a download account for you.
https://ttlc.intuit.com/community/using-turbotax/help/what-is-the-turbotax-phone-number/00/25632
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*
