Paladini you have to have approval from DCAM which goes with your application from your employer. Its there responsibility as Employer and sponsor to get your WP. You will highly likely be unable to get one yourself.
And anyway have you been to Jabatan Immigresen in Putrajaya?
Just FYI Ive been here on and off for over 6 years legally Lah,
Regarding Taxes are they going to pay deductions from your salary which they should, you submit an annual tax return which you can get an accountant or go to Tax office and they can help not that Ive tried that. Can PM me if you need any more info but sounds dodgy what you are told,
Regards,