I am currently working in the USA on F1-OPT.My status from Dec2009-Nov2010 was full-time employed on F1-OPT.I got married in June 2010 and my wife came over to the United States on a F2 visa on Aug 26th,2010.My company's payroll indicates this:

"Your record indicates that you are a nonresident alien.
IRS regulations require that your Federal Income Tax witholding status be "Single". "

Does this mean , that for tax purposes I am still single (although married) and I cannot in anyway change my status to married for tax purposes on F1? Also , would filing an ITIN for my wife make no sense since I am still single(cannot file taxes as married/joint and claim wife as dependent) for tax purposes?

Any help to clear the matter will be appreciated.Thanks.