In your ZONE DEFINITIONS you specify certain states for certain zones.
So, you first create your ZONE DEFINITIONS...
You do this by first working out how many ZONES you will need - let's say there will be FOUR groups (you may have more, but my example will be for FOUR zones).
I call them:
Zone_One
Zone_Two
Zone_Three
Zone_Four
You create these zones in admin >>> locations / taxes >>> zone definitions.
Use the INSERT button to create each new zone.
When you have your zones, "activate" the menu options by clicking on the zone, so you get the menu-box on the right that has a number of buttons, including one called DETAILS.
Click the DETAILS button for each of your zones, and select the COUNTRY (in your case USA) and then (one-by-one) add the STATES that will be applicable for each of your zones.
SO... let's say you click the DETAILS button for Zone_One...
You will click COUNTRY = USA, and then add the first state... let's say - New York.
Repeat this process for all Zone_One states.
Then do the same for Zone_Two, Zone_Three and Zone_Four.
(If you need to specify Tax setting for different states, you may want to consider adding the tax rates too - but these will also need prior configuration before they can be added... It will be necessary then to group states together that share the same tax rates.)
Anyway.... when you have allocated all the states to:
Zone_One, Zone_Two, Zone_Three, and Zone_Four
You will then specify the shipping methods/modules that can be allowed for each of these zones.
This is done by using the dropdowns for ZONE in the shipping modules.