You should contact your 1099-DIV provider (your broker) to find out which state the exempt tax dividend is for. The reason why is because the amount in box 10 is not taxable for federal purposes, but most states do tax dividends that are paid by another state.
NOTE: If the amount in box 10 is a small amount, and you are not concerned about the extra state tax that you may pay, you can select "more than one state" and continue.