Regardless of your reason for wanting to live in Illinois or elsewhere in the United States, receiving a denial letter for your petition may feel devastating. The notification may not be the end of the road, though. According to the U.S. Citizenship and Immigration Services, you may still receive a favorable decision through an appeal.
If you are the beneficiary and the filer of your petition, then you may file the appeal. However, if someone else, such as a family member or employer, filed the petition on your behalf, that person will also have to file the appeal on your behalf.
You are not asking the original USCIS office to reconsider your petition. You will likely be appealing to either the USCIS Administrative Appeals Office, or you will submit the appeal to the Department of Justice's Board of Immigration Appeals, depending on the type of immigration case you have. You will find the information about who to direct your appeal to in the denial letter you received.
In addition to where to file the appeal, you will also find in your denial letter the reason that your petition was denied. If you did not provide all the information necessary, for example, then you would include that documentation or evidence with your appeal. If you believe the denial came about because of a mistaken legal conclusion, you may include a brief with a detailed explanation of how that error occurred and how it affected the outcome unfavorably.
There may be many other factors relevant to your case, as each situation is unique. Therefore, this general overview should not be interpreted as legal advice.