No, it's not right. Wisconsin and Illinois have a Reciprocal Agreement, so if you live in Wisconsin and work in Illinois, you would have tax withheld from your wages only for Wisconsin. You should file Form IL-W-5-NR with your employer so that they will correct your withholding situation.

For 2017, you will need to file an IL return as a nonresident to get your withholding back. You'll need to file your WI return as a resident, and you may owe tax if your withholding was for the wrong state.

Keep in mind that if you had income other than wages from Illinois, you may have to pay tax on that.

Prepare your nonresident IL return first, then move on to your WI return.