Your federal tax return goes to a different location depending on the state that you live in. See this list to determine the location for you. Where to File Paper Tax Returns (irs.gov)
You should have an instruction sheet (1st page of your return) that will tell you what you need to include with your tax return.
Attach Forms W-2 and 2439 to Form 1040. If you received a Form W-2c (a corrected Form W-2), attach your original Forms W-2 and any Forms W-2c. Attach Forms W-2G and 1099-R to Form 1040 if tax was withheld.