You will have to file a Missouri non-resident return (because you have MO-source income) and an Illinois resident return (because that's where you live).
Prepare your MO return first, so that the tax you pay to MO flows correctly to your IL return. On your IL return, you may be allowed a credit for income tax paid to MO on Schedule CR, Credit for Tax Paid to Other States.
TurboTax will walk you through the steps.
