I have already paid for Turbotax when I purchased it at Costco. Why are they asking me to pay again when I try to E-file? They are asking me to pay another $39.00?

Either you are accidentally using the Online web version or you need to efile a state return.  In the Desktop program it is 24.99 to efile state.  Then to have the fee deducted from your refund there is an Extra 39.99 Refund Processing Service charge which you can avoid by paying with a credit card or you can print and mail state for free.

Or you added on another service.  Go back through the File tab and watch and read the screens closely.  Be careful what you click on to continue.

I found a good note I posted.......
Go back through the FILE tab and read each screen slowly and pay attention what you click on.  Don’t just get in the habit of clicking the bottom right box to continue or you will select to pay it out of your federal refund.  WATCH and READ the screens.

Watch out for this screen