I'm a mexican living in Tijuana and I recently got my TN visa and started working in San Diego since January 2 2012, I drive every day from Tijuana to work and return everyday to my home in Tijuana.
My boss gave me a W4 Form and I need to fill it out.
What I need to know is:

1. Do I fill it out as a non resident or resident alien?
2. Do I need to give my employer any other form indicating my status depending on what that is)?
3. Is there a way to make my withholding smaller?
4. What are the proper steps to make for my situation.
5. What are the taxes that I don't have to pay?

If someone could help me with my situation I would appreciate it.

TN is work visa. Your days on TN are not exempt from residency.
However if you drive from Tijuana to US everyday, you do not live in US. You are nonresident. Your U.S. Tax Return: The U.S. Visas (http://taxipay.blogspot.com/2008/08/us-visas.html)

I had to give my W4 yesterday to my employer but didn't indicate I was a non resident, can I still change it?
And what other forms should I fill out and give to my employer, and will my employer withhold more of my pay if I am a non resident?
What taxes am I exempt from?

Just fill out a NEW Form W-4 and re-submit it to your employer.

Since you are working IN the U.S. on a work visa, you will be liable for the full range of taxes (federal and California income tax, Social Security and Medicare, California SDI).