You will need to print your tax return and apply for Individual Taxpayer Identification Number (ITIN) for your wife. Please review How do I apply for an ITIN? and Revised Application Standards for ITINs for details.

Since your wife is a non-resident alien you will need to attach a statement, signed by both spouses, to your joint return for the first tax year for which you choose to treat the nonresident as a U.S. resident for tax purposes. It should contain the following information:

1. A declaration that one spouse was a nonresident alien and the other spouse a U.S. citizen or resident alien on the last day of the tax year, and that you choose to be treated as U.S. residents for the entire tax year
2. The name, address, and identification number of each spouse. (If one spouse died, include the name and address of the person making the choice for the deceased spouse.)

Please see Nonresident Alien Spouse for details.

What happens if my wife is still living out of state? She has never set foot in the US.

You can elect to file Married Filing Jointly, as DanaB27 points out above, or you can file Married Filing Separately. 

If you file Married Filing Separately, and your wife has neither a Social Security Number or an ITIN, you will have to file by mail. If you have a dependent, you could file Head Of Household and avoid the identification numbers entirely. 

If filing MFS, TurboTax will give you errors on the lack of Social Security number. Leave the spouse's Social Security blank.  Print your return and write "NRA" for the spouse's SSN. Mail in the tax return. 

You can find out more here and here.

Thanks so much

Since you were married on December 31 you have to file as MFJ or MFS. As a US Citizen or a Resident Alien, you have two choices in filing your taxes.

Option 1

Treat your spouse as resident alien for tax purposes.   If you do this, you will need to include your spouse's worldwide income in your US tax return and it will be subject to US taxes.  To do this follow these steps.

1. Attach a statement to your tax return, signed by both spouses, that states that one spouse is a nonresident alien and the other is a U.S. citizen or resident alien, and you are choosing to both be treated as US residents for the tax year.
2. List the name, address and Social Security number (or Individual Taxpayer Identification number) of each spouse. If your spouse has a social security number you will use it.  If not, you will need to apply for a number using Form SS-5.  If your spouse is not eligible to apply for a Social Security number, complete a Form W-7, Application for IRS Individual Taxpayer Identification Number (ITIN) (http://www.irs.gov/pub/irs-pdf/fw7.pdf).  This form will be attached to your tax return.  Turbo Tax does not support the Form W-7.  You can complete it outside of Turbo Tax.  You will have to print, sign and mail your return in if you are using Form W-7.
3. For the first year you make the choice, you have to file a joint return. In later years you can file joint or separate returns. Married Filing Jointly will give you a higher standard deduction and has other benefits that are not available using a married filing separately status, but you do have to include your spouse’s worldwide income in joint income.

Option 2

Treat your spouse as a nonresident alien for tax purposes. You will not have to include your spouse’s non-US income on your U.S. tax return. You will have to use the filing status of Married Filing Separately.

https://www.irs.gov/Individuals/International-Taxpayers/Nonresident-Spouse-Treated-as-a-Resident

If everyone on the tax return has a social security number or ITIN, you should mail your return to the address listed in the 1040 instructions.  Tax returns with a Form W-7 should be mailed to the Austin TX address.