It seems that your state program is not installed. Click 'Online' at the top and choose 'Download State'. TurboTax closes once you choose your state, and when you re-open it, you should get an 'updating' message and your state will be installed. Click on the State Taxes tab to start the interview.
TurboTax Desktop generally comes with one free state, which you choose. If you purchased a state separately, Sign In to your Intuit account and go to Products > Downloads to download the state program.
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