How do I verify work history for a job that is out of business?

I only worked there for a week and a day and I never received a check. I quit and never went back to ask if I had a check. This was back
in 2002 or 2003 and the company went out of business in 2003. This is the only work history I have. I was recentely hired at another company and I start in 2 weeks but the background check said that they have no information that I worked at this company. They told me to fax them a w2 form or a pay stub but I don't have none of this. I already talked to the recruiter who hired me, and I just told him that the background didnt find any info on my past job history. (I didnt tell him how long I work there and that i didn't receive a check or w2). He told me to go to the tax place to see if Im in their files. Do you know if I should have something on file there or somewhere? What should I do?