Which one is correct?
"I am working almost two months at this project"
"I have worked almost two months at this project"
I want to give this meaning: I'm still working on it.
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The first sentence is incorrect; it follows a form found in some European languages (German springs to mind), but not English.
I would suggest:
I have been working for almost two months on this project
I don't believe that there is any implication of completion in this construction.
I have been working on this project for almost two months.
See present perfect continuous, which is used for unbroken action in the past which continues right up to the present.
The second of your sentences would be the most correct, but might I suggest some modifications:
You would most likely want to say on this project. (I can think of only a few instances where one could argue to use at in place of on, but they are not very common.) You may also want to move the phrase on this project to indicate a relationship with the verb worked. Finally, to demonstrate that you are still working on it, you could add so far, which leaves us with:
So far, I have worked on this project for almost two months.
The first one sounds like something my mother would say. Her grasp of English grammar is faulty at best.
The second one is grammatical, but to indicate that you're still at it, you need "have been working":
I have been working for almost two months on this project.
I just noticed that I automatically corrected "at" to "on". Your choice is not incorrect, but it's more typical to speak of "working on a project."