You can do this by building a query.  Follow the instructions below:
  1. Go to Data Management > Query
  2. Click create new query
  3. Fill out query template and click save
  4. Select Address in the Field Type drop down
  5. Select Stat/Province in the Field drop down
  6. Click Add Field Clause
  7. From the drop down below equals, select the state
  8. Click Save
  9. Click Save Query
  10. Click Run Query

If you'd like to add these results to a group or create a new group, you can click Use Query on the results page and follow the prompts there.