Name    |    State
----         -----
Billy        Utah
Sue          California
Joe          Utah
Sally        California
John         Michigan

Option Explicit

Sub CreateCSVfromWS()
Dim ws As Worksheet
    Application.ScreenUpdating = False

    Call Filter
    Call MakeMonthSheets

        For Each ws In ActiveWorkbook.Worksheets
            ws.SaveAs "C:Destination" & ws.Name & ".csv", xlCSV
        Next

    Application.ScreenUpdating = True
End Sub

Sub Filter()
Columns("A:B").Select
    Selection.AutoFilter
    ActiveWorkbook.Worksheets("Sheet1").AutoFilter.Sort.SortFields.Clear
    ActiveWorkbook.Worksheets("Sheet1").AutoFilter.Sort.SortFields.Add Key:=Range _
        ("B:B"), SortOn:=xlSortOnValues, Order:=xlAscending, DataOption:= _
        xlSortNormal
    With ActiveWorkbook.Worksheets("Sheet1").AutoFilter.Sort
        .Header = xlYes
        .MatchCase = False
        .Orientation = xlTopToBottom
        .SortMethod = xlPinYin
        .Apply
    End With
End Sub

Sub MakeMonthSheets()

    Dim rngState As Range
    Dim rngCell As Range
    Dim sh As Worksheet
    Dim shDest As Worksheet
    Dim rngNext As Range

    Const sLNHEADER As String = "State"

    Set sh = ThisWorkbook.Sheets("Sheet1")
    Set rngState = sh.UsedRange.Find(sLNHEADER, , xlValues, xlWhole)

    'Make sure you found something
    If Not rngState Is Nothing Then
        'Go through each cell in the column
        For Each rngCell In Intersect(rngState.EntireColumn, sh.UsedRange).Cells
            'skip the header and empty cells
            If Not IsEmpty(rngCell.Value) And rngCell.Address <> rngState.Address Then
                'see if a sheet already exists
                On Error Resume Next
                    Set shDest = sh.Parent.Sheets(rngCell.Value)
                On Error GoTo 0

                'if it doesn't exist, make it
                If shDest Is Nothing Then
                    Set shDest = sh.Parent.Worksheets.Add
                    shDest.Name = rngCell.Value
                End If

                'Find the next available row
                Set rngNext = shDest.Cells(shDest.Rows.Count, 1).End(xlUp).Offset(1, 0)

                'Copy and paste
                Intersect(rngCell.EntireRow, sh.UsedRange).Copy rngNext

                'reset the destination sheet
                Set shDest = Nothing
            End If
        Next rngCell
    End If

End Sub