Colorado private employers must reinstate reserve component service members who leave a civilian job for military training for up to 15 days per calendar year. You must be put back in the same or a similar position with no loss of status, pay or seniority.
There is nothing to file with the state. Tell your employer before you leave and give them your orders, then ask for reinstatement when your training ends.
Your training orders and proof of the dates you were away.