On the screen where you enter the employer's address, below the employer name and above the employer address there is a drop-down list labeled "Address type." Click the down arrow to open that list, and select "Foreign country." Then enter the Canadian address.
Note that the fact that the employer's headquarters is in Canada does not make it foreign income, and does not affect where you pay tax to. Your tax returns will be the same as if the employer's headquarters was in the state that you worked in.