State tax filing

West Virginia says i have 3 different years 06,07 and 09 of unfiled state and owe $5000. Ive lived in pa for 2 yrs now but im unsure how i can go back to these specific yrs of unfiled returns and figure out how to file them properly. This year im worried because i drove for a trucking conpany for 3 months but when i called about w2 releases, gave my info and they tell me they have no records of me ever being an employee and wont get a w2. A tax preparation place told me to file without it. But a relative told me ill go to jail for unfiled federal returns from a
employer.