Only show active windows in the current space in Mac OSX when pressing CMD-Tab

I'm afraid you cannot do that, since the Dock (where this menu belongs) cannot be distinctly used on each space.

But, what it might be handy is to disable the option:

"When switching to an application, switch to a space with open windows for the application" from System Preferences > Expose & Spaces > Spaces.

That way, even if you select an application which is not present in the current space, you wont be moved to that space.

After all its just a matter to get used of it. After a while, even you'll be ok with it or you'll just deactivate spaces at all (the latter happened to me).

You can assign an application to a particular space (sometimes called desktop). Go to some space -- perhaps an empty one. In the dock, right click on the icon for your app 1. You will see a pop-up which includes options. Select options, then "assign to this space".

Move to a different space with Mission Control. Repeat the process for app 2 (right click on the icon in dock, select options, assign to this space).

Move between the two apps by choosing the assigned space for whichever one you want to use. You will see one but not the other in the corresponding space space. You can configure how you move between spaces in system preferences.