I personaly use "working at" in terms of a company name, for example I am working at Tesco's or I am working at Sky the phrase "working in" is used in the terms of what sort of job is, for example I...
He is working - tells us that he is at work right now. It makes no reference to the past. It only speaks of the present time.
He has been working - tells us that his work is ongoing from some point...