I worked for a company that went out out of business and shut down the last few stores late june of last year how do i file my return with out there w2?

I worked for Tuesday Morning when they filed for bankruptcy and closed the last stores down on the last day of June we were told our tax refund paperwork would get mailed to us however it has not shown. How do I file my taxes with this being a rut in the stump any advice would be greatly appreciated and thought provoking