^^^For which tax year you want to file your returns? In US, the tax year is the calendar year from 1st Jan to 31st Dec unlike our financial year from 1st April to 31st March of next year. If you want to file for tax year 2009, then the last date was 15th April 2010 for filing unless you filed for an extension, in which case the last date becomes 30th Sept 2010.
The form W2 is issued by the employer(s) after the tax year is over, typically in january of the next year, i.e. Jan'10 for tax year 2009. It is mandatory that you have your W2 while filing returns. When filing, give the option of direct deposit to US based bank account as it is faster, easier and the refund (if any) will get credited after around 10-15 days after it is accepted by IRS. And e-filing is the most convenient option as it is also faster and easier. Paper filing will require more time.
For e-filing you can try turbotax/HR Block, etc. It is very easy and any layman will understand it. Just answer their questions step by step, import data from W2 and the online software will take care of the rest. Federal e-filing by turbotax is even free. State filing will require around $20-30.
BTW, if you missed your deadline of April 15th and did not even file an extension, then IRS will charge you penalties...