I was hired back in Aug, first employee at a startup. Nvr filed w-4, employee has ID #, is this bad?

She hand writes me checks me with company logo, but taxes are wack. I obviously need to get a w-2 but as far as taxes for this employer go I will probably owe a lot having not filed a w-4 initially. Should I start filing one now even though its the last 2 weeks of the year. New w-4 kicks in in 2007 right, i dont really get this tax stuff?