I am currently unemployed which means I do not have a W-2. What do I do because it won't let me file my federal without one?

You can of course file a return without a W-2, millions of people do, whether they're unemployed, self-employed, or retired.  If you're using TurboTax, just skip entering a W-2.  If there is one there, delete it.

Don't know about the online version. But in the desktop version you can't just skip that section. You have to start the W-2 section and then select the option for "I don't have a W-2" and continue from there. If you don't make that selection, the program will flat out not allow you to e-file.

Do you have some other income to enter?  Did you receive unemployment compensation?   Retirement income?  Social Security?   What are you putting on a tax return?   You can skip W-2's but without some income to enter, you have no reason to file.