If you do not have to file a state tax return because you do not have taxable income, go to the state section (click on State in the left part of the screen. You should see:
Let's get your state taxes done right -- Click Continue
The next screen should say Status of your state returns -- click on Done with all states
If you had already started, in the review part, it will say:Let's finish the state return- click on Delete this state return
If you need additional help, add to the comments below