My total income was $57,000, I donated money last year and lost money in the stock market. How is my CT State return only $78? and federal around $300?

Your refund is made up of your taxes withheld during the year versus your taxes paid.  On $57,000 your federal income tax liability would be around $5,500. This means your employer likely withheld around that much.  

Taxes are kind of simple.  You pay in during the year based on what you earn and what you entered on your W4.  At the end of the year, you reconcile what you paid in with what you actually owe and then you either get a refund or have to pay more in. If you paid in too much, you get some back.  If you paid in too little, then you have to pay more. 

With the tax changes, many people are having less withheld throughout the year so at the end of the year their refund is less than it used to be. 

Losing money in the stock market does not offset your regular income.  It will offset your other capital gain income when you sell your stock at a loss. If you did not have other capital gain income, then your stock loss would not affect your return.  Also, if you did not sell stock, even if you had other capital gain income, the loss in value would not affect your return as loss in value is not deductible until you sell. 

Federal and CT state tax laws differ.  As a result, certain items must be added to determine your CT taxable income. See:

Connecticut Adjusted Gross Income

The "stock market loss deduction" is limited to $3000.  If you had more, the excess is carried forward to the next year (where another $3000 limit is applied).