As long as you do not go/work someplace that is a PFZ it is not illegal to carry at work. It more then likely is against your company policy and IF they know you are carrying they can/will fire you, but you will not have "legal" problems.
If the building you work in is secure (meaning you do not feel that you have a chance of getting killed), leave the gun locked in your personal vehicle and keep your mouth shut, most companies do not even allow them in your vehicle.
If you have to drive during your work hours, unless you are in an armored car, keep in mind that "things happen". If you get "jacked" at a red light, it is cheaper for your company if you die then if you kill the criminal.
Yes it sucks but money is what drives companies to make rules like this.