1) 2006 pay peiod will be included in your 2006 W-2 form. your employer will send you W-2 late January or early february. You just need to use the number on your W-2 form for tax return (1040 form or 1040A)

2) Tell your new employer to correct the status for you.  I don't think your employer (or payroll service company if your employer use payroll service) will adjust past period for you. But they will definitely correct your status for future period. 

Don't need to worry about the money they incorrectly withheld from your paycheck. You will get refund after you file 2006 Form 1040 (tax return), if Uncle Sam really owe your money.

Hopefully this helps.