If you are outside the United States (and you are not a Canadian citizen and you do not already have a valid F-1 visa stamp in your passport), you will need to obtain an visa stamp in your passport ...

Once the SEVIS fee has been paid, you will apply for a U.S. visa at a U.S. Embassy or Consulate outside of the U.S. The only exception is for Canadian citizens, who do not need an F-1 or J-1 stamp to ...