You must have been using the Online version instead of your Desktop program. Did you install the program and activate it with the 16 digit License Code? When you filled out your return did you go online and log in? And see a black column on the left side with the menu items, Federal, State, File etc. That is Online.
The Desktop program is blue across the top and the menu items like Federal, State, Review, File go across the top.
How much did it charge you? If you did use the Desktop program there is a $25 fee to efile the state return. Or you can print and mail state for free. Which CD did you buy? If you bought Basic it does not include a free state program.