Here's a handy reference table for those that you might not remember right away:

State	Capital City	Postal Codes
Alabama	Montgomery	AL
Alaska	Juneau	AK
Arizona	Phoenix	AZ
Arkansas	Little Rock	AR
California	Sacramento	CA
Colorado	Denver	CO
Connecticut	Hartford	CT
Delaware	Dover	DE
Florida	Tallahassee	FL
Georgia	Atlanta	GA
Hawaii	Honolulu	HI
Idaho	Boise	ID
Illinois	Springfield	IL
Indiana	Indianapolis	IN
Iowa	Des Moines	IA
Kansas	Topeka	KS
Kentucky	Frankfort	KY
Louisiana	Baton Rouge	LA
Maine	Augusta	ME
Maryland	Annapolis	MD
Massachusetts	Boston	MA
Michigan	Lansing	MI
Minnesota	Saint Paul	MN
Mississippi	Jackson	MS
Missouri	Jefferson City	MO
Montana	Helena	MT
Nebraska	Lincoln	NE
Nevada	Carson City	NV
New Hampshire	Concord	NH
New Jersey	Trenton	NJ
New Mexico	Santa Fe	NM
New York	Albany	NY
North Carolina	Raleigh	NC
North Dakota	Bismarck	ND
Ohio	Columbus	OH
Oklahoma	Oklahoma City	OK
Oregon	Salem	OR
Pennsylvania	Harrisburg	PA
Rhode Island	Providence	RI
South Carolina	Columbia	SC
South Dakota	Pierre	SD
Tennessee	Nashville	TN
Texas	Austin	TX
Utah	Salt Lake City	UT
Vermont	Montpelier	VT
Virgina	Richmond	VA
Washington	Olympia	WA
West Virginia	Charleston	WV
Wisconsin	Madison	WI
Wyoming	Cheyenne	WY

This quiz will purposely offer the choices that are the most easily mixed up. For example, you'll notice these will often appear together:

MS	Mississippi
MI	Michigan
MO	Missouri
MT	Montana

It's not done that way to be diabolical or anything. It's just that it helps you find out about easily-mistaken things better than purely random choices do.