Which is correct and please give some explanation. Thanks.
1. I am working in a pharmaceutical company.
2. I am working for a pharmaceutical company.
Clark's answer is correct. I would like to add a little extra information though.
When you are talking about a company, the preferred preposition is 'for'. It is common to use 'in' when you are referring to a building (as Clark says), but also a particular industry or branch. For example.
I work in graphic design.
(Graphic design is the discipline or field in which I work)
I work for a large advertising agency.
(The agency is the company for whom I work)
I work in a design studio
(The studio is the place in which I work).