Need legal advice regarding work, hiring, and firing. Help!?

Hello, so I recently (almost 2 months in July 9) got a job at a toy company. I was hired as a Day Porter at this toy company. But I was hired by a facility services company, not the toy company. I was never asked to fill out an application, nothing. They didn't even know y name, phone number, address, NOTHING. They hired me, gave me a job. I accepted because it was my cousins wife's job, so I thought it would be safe. When it came time to pay me (Monthly btw) I was told by the "manager" that I wouldn't be payed until the 26th of June. (I started working may 9 2011) and I was expecting them to pay me May 9 2011- June 26th. That's what the guy told me. When he payed me (gave me a personal check that was labeled House Cleaning Services) I was ONLY payed for the month of may. Turns out they were going to pay me a month behind. meaning they'd owe me a month every month. I didn't like that so I complained and they accused and threatened me. they said "We know you're an illegal immigrant." They insulted me, told me that I was going to fix everything (since I complained to the toy company, I didn't think it was fair that that's toy company was paying the facility service company to hire employees and pay them). Turns out EVERY janitor/day porter is an illegal immigrant. Not me. Even the manager guy who gives out these personal checks. The facility service company contacted me and told me to fix this and basically apologize. They said they knew I was illegal (im not btw wtf) and that I wouldn't want to get involved with homeland security and ice. My question is, is this legal? supposedly the facility company hired sub contractors. Is it legal to know your employees are illegal and still pay them? HELP!