Yes, you would check the boxes for all three if you are e-filing Federal and both states.

Have you 'authorized' a second state yet?  If you are not sure:

1. Go up to the "Tools" menu,
2. Then "License Products". 
3. Hit "Okay",
4. Then press the button that says "View Return Usage and State Licenses".

That will show the states that you have already licensed.  If you have not already licensed two States, when you try to print or e-file the your second state, it SHOULD give you the option to license that State (for unlimited) or to pay the $41 PPR fee (plus tax). 

Be careful it doesn't try to charge you $4100, because the program has been glitching for some people.