Globally?  The easiest thing is to just NOT install the states you don't want (or ONLY install the ones you do).  When installing the software, you get to select the specific states, for each module, that you want/need.  It's not difficult to add a state later on, so I pick only the ones I'm sure I'll need it.

Specific Client?  Client Information tab, upper left side under 'Returns'. Highlight the unwanted state, click on delete.  This action can't be undone, so be sure.