Hi Andy,
Change the order of your layer by dragging states layer out of basemap layer. In the current situation you will not able to export it or run definition query on that as states layer is part of basemap layer.
After that do one of the following;
1. Select on state > right on states layer > Selection > Create layer from selected features.
2. Right on states layer > Properties > Run definition query
2. Select one state > right on states layer > Data > Export Data