For active duty military your resident state is the state where you joined the military from (where you lived when you joined). You would indicate that in "My Info" and indicate that you did not live in any other state.
Near the bottom of the "My Info" section you will see "Other state income". You should review that and select yes or no depending on your situation. If you have income other than military income from a state you were stationed in, then a nonresident return will be generated. You only include the other income in that state return.
You may only be filing one state return with your military income. Depending on your resident state you may also exclude your military income from that return. Here is a page to check on how your state handles military income when stationed outside of it.
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