You need to see an accountant.
For 2006, 2007, and 2009, you can get transcripts of your federal returns from the IRS, and use them as the basis for your WV returns. But there won't be any software that can do those old returns so you will need to get the forms from the state and do it by hand, or see an accountant. (You owe WV taxes if you lived in WV, no matter where you worked.)
PA and WV have a reciprocal tax agreement. If you live in WV but work in PA, you can file a form with the employer to stop them withholding PA tax, and then you only file a WV tax return. But you have to file the form to stop the withholding. If you have PA tax withheld, you have to file both a PA non-resident return and a WV resident return.
For 2017, something seems very bizarre. Were you an independent contractor? You might get a 1099-MISC form instead of a W-2, and you then report self-employment income. If the company has no record of you and doesn't report your income to the IRS (the company is supposed to send a copy of your W-2 or 1099 to the IRS), then there is no particular way for the IRS to catch you for not reporting.
But there is a way for you to report employee wages using a substitute W-2 form if you think you were an employee, or if you get a 1099-MISC you report self-employment income.
You can probably handle 2017 on your own but with the prior problem, you may want to get an accountant to do everything at once.
*Answers are correct to the best of my ability at the time of posting but do not constitute legal or tax advice.*
