Hannity lives in New York which has a state registered Conservative Party of New York. You might live in a state with one of the small parties like the American Conservative Party or the Conservative Party USA has a toe hold but the NY party is a fifty year old local state party with a lot of history. Sometimes they have the same Governor candidate as the Republicans and sometimes they don’t. The other party sites are below.
http://www.conservativepartyusa.org/home/
http://americanconservativeparty.org/
The Conservative Party of NY is a patronage mill, same as the Liberal Party of NY. They cross nominate candidates with the major parties in order to get their friends and relatives on the state payroll.