I filled out my W4 when I got my new job. I completed it, signed it and waited for my employer to come back in the room. When I handed it to him he sat down and started changing all of the numbers. Is this legal, and if not what can I do about it?

What numbers did he change, he can not change your withholdings, you need to speak to HR about it

If you are a foreign worker, there are special withholding rules that apply to you, in that it restricts the number of allowances you can claim.

He Changed my Dependents I was claiming and things like that.

Again, if you are a foreign worker, under IRS rules at MOST you can claim only TWO allowances under MARRIED status.

Are you a U.S. citizen or under a green card?