Entering In my employer's address, I am in the US, employer's address is CA: WINNIPEG MB R3C -1T1. The website will not take the state/zip. How can I proceed?

Canada doesn't use zip codes.  It uses international postal codes.

When you enter the W-2, choose the option to enter a foreign address, so the data field will change to "Postal Code?"

[Please see the screen shot below which shows how to enter a W-2 that has a foreign employer address.]