Enter a zip code, and Excel will tell you in which state it is
It also has a list of all zip codes for all states and a technique (INDEX and MATCH functions) to get the state from a given zip code.
Simple file to help learning INDEX and MATCH
The formula used is: =INDEX(Data!$D:$D,MATCH(TEXT(Search!C4,"00000"),Data!$C:$C,0),1)