Did you buy a package that only allows a certain number of states and you chose the wrong ones?   If this is the case, you will probably have to call support to get this fixed.

or do you just need to install another state?

Update > Select and Download New Products and you can choose more states to install.

First step, uninstall NJ:

Uninstalling a federal or state product in ProSeries (intuit.com)

Then go to your software update tab and select NY and unselect NJ if that box is still checked.

But for the record, I think I would bet cash money that you took NJ instead of "it".