In general, the way that the deduction for insurance premiums on the federal returns works is like this:
Most health insurance premiums that you pay with after-tax dollars (your COBRA is such an example) can potentially be medical expense deductions on Schedule A (Itemized Deductions). You would enter these items at Deductions & Credits->Medical->Medical Expenses.
However, as you note, you can actually deduct only those medical expenses (and after-tax insurance premiums) than exceed 7.5% of your Adjusted Gross Income (AGI), which is found on line 37 of the 1040. If your AGI is $40,000, then for any medical expenses to be actually applied to Schedule A, they would have to exceed $3,000.
Your $5,900 could be entered here (the navigation in bold above). You will also add your out-of-pocket medical expenses that were not covered by insurance.
As for the $1,500, its treatment depends on how it was treated by your employer. If your employer is reporting this amount to the IRS as taxable, then you can apply it to the medical expenses. However, if your employer did not treat it as taxable, you can't use it. You may need to consult with your HR department to find out how they treated the $1,500.
As for Wisconsin, the way they treat medical expenses is a bit more complex. Wisconsin allows a subtraction from income for the amount of premiums you paid with after-tax dollars and also has a small credit for other Itemized Deductions not including the health insurance premiums.
In the state interview, proceed through Wisconsin until you come to a page entitled "Medical Care Insurance". These numbers will help TurboTax adjust the numbers from the federal return, so that the proper way to report these expenses is calculated for the state return.
