You are going to want to select "More than One State" - see screenshot below.
In all likelihood, the dividends truly are from more than one state, but its possible you can get a tax benefit if you can identify which state the dividends are from, but this information would only come from your financial institution. The tax benefit you would get would be that your home state would not tax the dividends that come from your state, if there are any. They would still tax the other dividends.
