Yep. Did you withhold income taxes for your nanny or just do unemployment insurance?
If you did unemployment, it's paid and there's nothing else to do (if you sent it in, that is).
If you withheld state income tax, you need a special number from the state, and you file a particular form along with a copy of the W2 you gave your nanny. I found this VERY confusing until I called and called and FINALLY got someone on the phone who could really explain what I needed to do to me.