My wife lived in CT in 2008 till she moved in with me in July and we married in Nov 2008
So far I have prepared our Federal return as married filing jointly and also the NJ state return, both with no problems.
Ct is different, when I try to file it on the same program it assumes we both lived in CT in 2008, I was told to file her separate in CT only, can this be done ? And how ?

Filing separate CAN be done for CT, but filing is probably better. Show only the CT-sourced income as the taxable CT income and you should be okay.