Generally, your W2 Document Type will already be set for you.  If it is not, here is where you can set it up:

Go to the Setup > Doc Mgt > Doc Types screen.  .

Show below is a typical configuration for a W2 document type:

Note that the name “W2” used here is not special – the system does not recognize this as a W2 document type because of its name:  it must be configured in the W2 system as shown in Step 2 below.

Linking the Doc Type to the W2 System

In the panel at the top left of the Payroll > W2 > Publish W2s to Doc Mgt screen there is a "W2 Document Type" field:

Select the Doc Type you created to hold the W2 Documents in that drop down, as shown above.

This is what links the W2 system to Document Management.