I got married on December 29, 2008. I live in the US, my wife lives in Europe and don't pay any US taxes (she does not have a VISA to enter the US yet). My wife works in europe and she will be studying when she will come here in July.

When I fill my new W4, is my wife considered working? It seems to me that working means that my wife has W2 and works in the US and not outside which is not the case here.

Is my wife considered "does not work" in terms of US taxes ?

Any feedback will be helpful.

If you are U.S. citizen or resident, you can file as married filing jointly (MFJ) or married filing separately. In most cases, it is better to file as MFJ.
If you will filing joint return, yes she is working. If you will be filing separate return, you can treat yourself as single.
Read Your U.S. Tax Return: Filing Status for Married

If you plan to file jointly for 2009, you will have to declare her European income. You may be able to exclude the income (using Form 2555) or claim the Foreign Tax Credit (using Form 1116), but her income WILL impact your tax rate.

For this reason, you should file your W-4 as SINGLE with one exemption.