Additional taxes withheld due to the error on filing status by payroll company?

I have not gotten my W-2 forms yet from payroll company but I just realized that they have treated me an Single although I am married through the entire 2009 and subsequently withheld additional taxes from paycheck. Will I get this back when I file my taxes as marries with IRS or IRS will argue that I was single through entire 2009? Is there something I need to do?