Which TurboTax desktop edition did you purchase?
If you are using the Basic edition that edition does not include a free state download.
If you are using the Deluxe edition, where did you purchase the software? Some retailers have two different Deluxe editions, one with and one without the state program. The ones with will have a statement to the effect - Includes Federal + State.
If you purchased the Premier or Home & Business edition, those all include one free state program download in the purchase price.