Shipping to different countries

Sure,

I said that there should be no charge on Maharashtra State

You'll have to create a shipping method with :
- a "Price" option set to 0
- a "Zone" option set to Maharashtra

and all other states should be applied the shipping charges. And this depends on the state I select while in the checkout address page (i.e. during the checkout process). The user need not to select the shipping method/costs.

You'll have to create as many shipping method as the number of different prices that you want to apply regarding the states that you select.
That's why I want you to regroup your states on a shipping zone so that each zone will be grouped regarding their prices, and then used through the "Zone" option of your shipping methods.