When you are in the Virginia interview. You should get to a screen with the title "A few things before we wrap up your state taxes". If you don't know where that screen is, you need to go into the "Other tax situations" section of the Virginia interview.
From there, you should see a topic titled "Virginia Identity Pin". Click "Start" to the right of that. On the next screen indicate that you did receive an identity PIN from Virginia, you will then be prompted for the Virginia Identity PIN
