If you live in a state the collects income taxes then when you complete you IRS W3 you will also need to do one for each state you have employees working in. These forms are very similar to the IRS submission and if you only have a handful of employees most states will let you key in the information to there website and submit. It is pretty simple. The main thing is you need to be able to figure out the time frames (most states are now Jan 31) for submitting deadlines.
Some states call this form as a W2 and it just summarizes all of your employee wages on it. You will need to check with your states to see what they require for year end filings.
Here is the link to Colorado https://www.colorado.gov/pacific/tax/withholding-payroll-tax-instructions-and-forms
As always if you have questions please reach out to me at email@example.com and I will try to assist you with your questions.