I came in Jul 08 on H1B and my wife also came the same time for her studies in F1, In 2009, I filed 2008 taxes (jointly) using 1040, now in 2010 I again filed our taxes (jointly) using 1040 for 2009 returns. Recently I came to know that H1B should file taxes using 1040NR. How to go about in this situation? I have already filed our tax returns for 2008 and 2009

In 2008, you were eligible to file joint return as residents. So you filed 2008 and 2009 returns correctly.
Starting with 2008, your spouse has chosen to be treated as resident so she must pay SS tax and Medicare tax on her income. Your U.S. Tax Return: The U.S. Visas (http://taxipay.blogspot.com/2008/08/us-visas.html)