After you enter the 1099-R in the Federal return, you continue on. There is a screen asking for the source of the pension. Your entry there determine whether it's tax free in the state or not. To return and go through the followup questions, enter Retirement Income in the Find window on the upper right, hit enter then select the Jump To that appears. Edit the 1099-R in question and this time keep going even after you see Done for the entry of the form itself. You will then need to go back to state taxes in order to transfer the new information.