When setting up a account for membership bussiness (Eagles Lodge)the setup ask about year of corporation which is June to May . When ask what the tax year is I put in the same imformation. Is this Correct or should I have put Jan. to Dec for payroll and 941 forms to work corectly?

You did it correctly. Payroll in QuickBooks will always run on a calander basis, Financial reports and income tax reports use the Fiscal date in Company Info