As a non-U.S. citizen studying in the U.S., you will need to obtain a nonimmigrant student visa before entering the country and as soon as possible after you receive your I-20 or DS-2019.
Apply for a visa at a U.S. consular office in your home country. Because of many recent changes in the law, you can expect delays in visa processing. Note that F-1 and J-1 visas cannot, as a general rule, be obtained from inside the U.S. There may be exceptional cases through a lengthy and expensive process on condition of special approval.