Assuming you live in NH for your studies, you are probably NH resident for tax purposes (even though not for tuition purposes). I'm not familiar with the NH tax law, so you should check it with some local professional.
Luckily New Hampshire doesn't have income tax on salary, but if you got bank interest or dividends, then you would probably be paying NH taxes on it.
You're probably considered resident of Missouri as well, for tax purposes (again - check with a local tax professional). According to the Missouri government site, you're a resident for tax purposes if you're :
Resident - An individual who is domiciled in Missouri, unless the
1 maintains no permanent place of abode in this state;
2 does maintain a permanent place of abode elsewhere; and
3 spends in the aggregate not more than 30 days of the taxable year in Missouri.
Resident - An individual who is not domiciled in Missouri but:
1 did have permanent living quarters in Missouri; and
2 spent more than 183 days of the taxable year in Missouri.
So if you spend more than 30 days with your parents - you're resident. If so - check here if you're required to file Missouri taxes. If so, you can find the relevant forms on the same site.
You're probably not a CO resident (depends on how long you've been there), but since you have CO-sourced income - you might have to file tax returns there for that year as well. Check the information here about Part-Year and Non-Resident Colorado tax forms and requirements.
You'll have to file the Federal form 1040 (or its simpler versions - 1040A or 1040EZ, depending on your situation). Get the forms and the instructions from the IRS here.
It looks like you may be filing up to 4 different packages - CO, NH, MS and Federal tax returns (but it is likely that it will be less, depending on your income and its sources).