I HAVE almost FINISHED it. There are only a few things I'm working ON.
Two separate, independent sentences.
"have finished" is the present (have) perfect (finished) tense. It is used when something/action began in the past and is continuing. I know it is continuing (not finished yet) because you wrote that it was "almost" finished, and that means that you are still working to finish it.
"working on" is a phrasal verb (a verb + a preposition). People 'work on' things such as projects or assignments or tasks.
For example:
Question: "Have you finished your work?
Answer: "No, not yet. I'm still working on it."