Choosing direct deposit as your refund method and e-filing your return are two different things.
You can still choose to have your refund direct deposited if you selected to file your return by mail. Conversely, you can choose to receive your refund via check if you chose to e-file.
It sounds like you selected to file by mail. The good news is if you're expecting a refund you won't incur any late-filing penalties and you have up to 3 years to file and claim your refund.
You can either print the return and mail it in, or go back into the File section of TurboTax and change your filing method and complete the e-file process. You may need to click Add a State under SOME THINGS YOU CAN DO for your 2016 return to get back into the program to change your filing method.
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