I worked in US for close to 45 days on 2011 and it is in New Jersey state after which I returned to India.
I am going to file 1040NR for federal returns as I am a Non resident Alien.

Question is regarding State returns:
As per NJ-1040NR instruction, it is not mandatory for me to file the state tax as my Wage in that year is less than $10000. But state tax was withheld from
My salary. Now what is the procedure to get that withheld amount.

You may not be required to file income tax return with NJ, but you may want to anyway in order to get a refund. I suggest you complete the return and decide whether your refund is worth the hassle of filing.