In the My Info section, scroll to the bottom of the "State of Residence" drop-down box. Click on "Foreign or U.S. Possession". This is entered separately from your mailing address.
This answer assumes you are not active-duty military. If you are active-duty military, your State of Residence is your military SLR (State of Legal Residence).
Your mailing address is the address you want the tax authorities to use in case they need to contact you.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.
