I get an extra $5 taken out of my check each week, the money is supposed to go towards federal taxes but it is not shown up on my w2s. I was told the company I work for has just kept it, how do I get this money back and fix my w2s.

Take your paystubs and your w2 to HR and show them how the numbers don't match.

I will assume you filed out a withholding form and showed to have an extra 5 dollars per pay period taken for federal taxes.