The Federal skilled worker program is the same in all provinces except Quebec. The only place where you indicate a province for FSW is when you write down where you are planning to live. It doesn't matter at all and you can change your mind without letting them know as long as it isn't Quebec because they have their own program.
The requirements for the Quebec program are somewhat different. You can read about both at the CIC website at http://www.cic.gc.ca/english/immigrate/index.asp
