"I need to get the taxes paid to Oregon back..."
Maybe, or maybe not. Most states that I'm aware of claim as theirs the "compensation" created by the exercise of a NQSO that was granted while you worked in that state, even if you no longer live in that state when you exercise. I don't know that Oregon, specifically, takes that stance but the fact that the broker withheld Oregon taxes suggests that they do. (Having a broker withhold taxes is a pretty rare event, usually caused by either not submitting a W-9 or stating on that W-9 that you ARE subject to "backup withholding.")
The typical way of handling a situation like this is to prepare two state income tax returns. First prepare your Oregon state non-resident income tax return. If you end up with an Oregon state income tax liability then you'd take that tax as a credit against your Montana income tax return, more or less eliminating the "double taxation" issue.
Tom Young
