My company won't give me a corrected W2 for living and working in a state with no state tax and I was incorrectly charged on my W2. They said to claim it on taxes.

Please see this FAQ from the IRS for instructions on how to file a complaint and gain resolution for an incorrect W-2.  

What was charged on your W2?  Did they take state withholding out for a different state?

Please clarify what state you live in and what state you work in.