Did you check "Other" address and "Foreign Address" when you entered the Form W-2? (see attached sample screenshot). That should resolve the problem.
(If not, try entering your own address as the Employer Address - as long as the Employer's Tax Identification Number is correct, it should clear any error messages).
As noted above, you need to indicate that this is a Foreign Address. So please do the following:
1. Copy down your W-2 information (if you don't already have a paper copy)
2. Delete your W-2
3. Re-add your W-2, typing it in manually
4. Before you enter anything else, note that this is a foreign address on the pulldown menu (it's in a different place between the Online and CD/download products, so I cant say where it is exactly, but scour the screen for it).
5. Once you have checked off that this is a foreign address, then you will be able to correctly enter the Canadian address.