As said in the comment, check with the international students office in your school about getting CINTAX/GLACIER access. Most (the larger) schools provide this service for free.
Whether through GLACIER, or in some other way, what you need to do is to file a tax return - form 1040NR to the IRS, and similar form to your State (in California - FTB form 540).
Note that you'll need to check a possibility of treaty benefits (if your country has a tax treaty with the US, you're likely allowed to exclude at least some portion of your income and not pay tax on it).
Usually GLACIER software (developed specifically for international students and visiting scholars) takes care of all these things and provides you with the forms you then need to mail to the IRS and the State. If your school doesn't provide access to GLACIER - you can try the IRS free assistance program. If that is not an option, then you probably should ask a professional help you with this, but ask for references from other international students who've been here for a while already, because most US tax preparers know absolutely nothing when it comes to international taxation issues.
If your country doesn't have a tax treaty, or your school provides you with tax treaty exclusion (i.e.: the income shown in W2 is less than what you were actually paid because you're a foreigner and signed some paper with HR), then you can fill the forms yourself, it would be pretty straight forward. You'll need to check with the payroll department about form 1042-S for that.
But pay attention to these points:
- Assuming its your first year in the US (in fact - first 5 years, as long as you keep your F1 status and don't apply for green card), and you're not a US citizen or permanent resident (which is safe to assume since you mentioned you're F1 student), you should not file form 1040/1040A/1040EZ, you should file either 1040NR or 1040NR-EZ. The "NR" is important: you're non-resident, the taxation is different. You should also remember to fill form 8843 with your tax return (part III).
- The fact that you're non-resident for Federal taxes (IRS) has no bearing on your State tax liability, so pay attention as there are differences. Depending on the State, you may be considered a resident for tax purposes from when you came, and will need to file a dual status return. Also, some states don't recognize treaty benefits. California is an example for a State where both the issues would come up.
- You should not use the tax preparation software sold in stores (Turbo Tax, H&R Block At Home, etc), as it will not provide the right forms for you. Standard retail software doesn't support your situation, and is useless for you. Similarly, retail chain tax preparers (like H&R Block, Liberty, etc) will probably not know how to handle it unless they're specifically targeting international students and have proper training and expertise. Most likely they don't.
When you have your return done, the "leaves" of W2 get sent with it to the tax authorities - one copy to the IRS, another to the State.
You can start familiarizing yourself with IRS publication 519 - U.S. Tax Guide for Aliens, if you want to be able to prepare or understand your tax returns yourself.
