To answer your question, if you haven't lived in Canada for a number of years, and therefore haven't filed tax returns, you could explain this and attach tax returns in the country(ies) where you have lived and worked. That's what I am doing.
The main thing they want to know is whether you have been bankrupt or in receipt of government financial assistance.
Remember, CIC only wants the most recent information, so anything that goes back years will not be relevant to your application to sponsor.
I have provided a lengthy explanation along with my Chinese tax assessment for 2010 (can't get the 2011 one until the end of April...sending my application at the beginning of April - if CIC requires this, I can send it later...but I doubt they will ask me for it).
Hope this helps,
FS