If I lived in two separate states do I file two separate returns

Because Florida does not have an income tax you will only need the New Jersey return.

• You would indicate in the My Info section that you lived in two states.
• After completing your Federal return, you will allocate the income you received in NJ.

"...how do I go about federal? Is it two  separate tax returns?"

No.  You file only one federal tax return.  All your income is taxable at the federal level regardless of your state(s) of residence.