My wife is on a L2 visa and has a SSN. We came to the USA on October 26th 2009. She did not receive any income in the USA. She has a business outside the USA. Does she need to file a tax return for 2009?

You can file joint return as residents.
If you are filing nonresident tax return, your spouse does not file tax return. Your U.S. Tax Return: The U.S. Visas (http://taxipay.blogspot.com/2008/08/us-visas.html)
On either return you can claim Moving Expenses. Your U.S. Tax Return: Moving Expenses (http://taxipay.blogspot.com/2008/02/moving-expenses.html)