I haven't filled taxes since 2002-03... I need to know what to do? How to go about it? And the cheapest way / free if possible... In that time I have gotten married 2 times and divorced 1... 2 kids.. 2 dogs... ;) PLEASE HELP

OK... well you can't claim the dogs.. so how much money did you make each year? If practically nothing and swamped in mortgages and alimony and child support, many cities and towns have free help from retired citizens - call your town hall or AARP or the senior center. If you made a reasonable amount, I would hire an IRS go between. They advertise tax help as former IRS agents, and yes, they don't just know about tax laws, they actually schmooze their way to breaks on penalties and interest for you. But it isn't cheap.
The 3rd option is to walk meekly into an IRS office (make an app't) and beg for a way to pay what you owe over time. If you act respectful and remorseful and are organized, you might get rid of all the penalties and interest yourself, but not the tax owed.

Your average independent tax preparer can also help you if you do not want to go into the IRS office by yourself.

Any refund from 2006 and earlier has been forfeited, but you muight be surprised to find that you are due refunds for 2007, 2008 and 2009.