In this paper, we develop a filtering algorithm for Wiener systems written in state-space form which considers correlated noise sources. The output non-linearity is approximated by using a piece-wise linear function. The probability function of the output signal conditioned to the system state is written as a Gaussian mixture distribution. A Gaussian sum filter algorithm to obtain the a posteriori probability density function of the state given the current and past output is developed. The associated statistics of the system state are obtained. The benefits of our proposal are illustrated via numerical simulations.