This article is from the FAQ, by with numerous contributions by others.
Unlike most non-immigrant visas, it is not necessary to obtain prior
clearance from the INS. Rather, the student must obtain an I-20 A-B
Certificate of Eligibility from the school where the student intends to
enroll and submit together with the OF-156 Non-Immigrant Visa form and
supporting documentation regarding financial resources evidencing an intent
to return to the students home country to a U.S. Consulate in the students
home country. After the visa is issued, the student applies at the U.S.
border for admission. If the applicant is already in the U.S. in another
non-immigrant status, the student applies to the INS.