with the secretary of state
http://www.sos.ms.gov/Charities/Pages/How-Do-I-Register.aspx

All units are now required to register as a nonprofit with the MS Secretary of State's office. Please use this following link to register your local unit information.  Once you have registered your unit, use the same site and log into upload your new board member list yearly. If you are not sure if your unit has file with the Secretary of State Office. Please contact the Secretary of State Office at
JACKSON OFFICES
401 Mississippi Street
Jackson, MS 39201
(601) 359-1371