Noah,
In ArcMap, click on the Select Features tool which is located on the Tools toolbar. With this tool, click on the state of PA to highlight it. Once it is highlighted, right-click the states layer in the Table of Contents and choose Data > Export Data. In the Export Data window, give the output file a location and name. This output file will contain only the state of PA since that is the only state you had selected in the map while exporting.
Let me know if this works out for you!
Matt