I am a non Resident Alien. I am Married but currently I am living here in US as Single. What is my Marital Status for Tax Filling.

Need more information.
You visa? When did you enter U.S.

Visa type L1B. I entered US in Jan 2010

You can file jointly with your wife and you both CHOOSE to be treated as resident aliens. This will allow you to claim the $11,700 joint standard deduction plus two $3,800 personal exemption (for yourself and your wife).

To apply for an ITIN, you need to complete Form W-7 for your wife. You need to make a photocopy of her passport, then get the photocopy notarized. This can be done at a Indian notary, but if she will be coming to the U.S. within the next few months, you should get it done in the U.S. at any local bank, because, if done in India, she must also get a certificate of authenticity (called an apostille) from the Indian government. Depending on WHERE she lives, this can take from a few days to up to a YEAR.

The downside is that you must declare ALL 2009 world-wide income (wife's home country income, if applicable). There is an offset available by either claiming the Foreign Tax Credit (Form 1116) or to claim the Foreign Earned Income Exclusion (Form 2555).

Even with the downside, this is probably the best way for you to file.

Visa type L1B. I entered US in Jan 2010

Head of Household and it doesn't matter when you entered the U.S.

Head of Household is NOT a legal option for a non-resident alien.

Head of Household is NOT an option for the OP because there is "qualifying person" (usually a child) on which to base the Head of Household filing.