YOU HAVE BEEN 419'ED!
I hope you have not sent the money!...
You can type 419 scam on the internet, you'll get an idea of what you're dealing with.
If you really need to sort out immigration, I suggest you get in touch with the Nigerian embassy for a start, in your home or neighboring country.
In Nigeria it is not a crime to scam people for money in this manner, as you have not been under threat to pay out, so they can escape any type of law suit.
Goes the same way when an unknown email sender tells you his customer from xxx bank has died in a car crash and left millions of dollars that no one can claim, unless you, the messiah of this unbelievable tragedy, will pose as the next of kin to get the money out and get a generous cut on the transaction....only after you've given your bank account details, name, signature, and maybe your credit card number too... but by then it's too late.
Good luck with your job hunting, and I could be mistaken about this company, I have never EVER had to send money to apply for a job, and even less of a chance via Western Union!
What experience/ratings do you have? Maybe I could point a few other places to you.