The Internal Revenue Service (IRS) of the United States classifies all people in the US as either Residents for Taxes or Nonresidents for taxes.
Residents for Taxes are US citizens, Lawful Permanent Residents (green card holders), and non-immigrants who are determined to be residents for taxes by application of the Substantial Presence Test.
Nonresidents for Taxes are non-immigrants who do not meet the standards of the Substantial Presence Test OR who are exempt from having to use the test at all.
Residents for Taxes are taxed on their world-wide income. For these people, both income from US sources AND income from abroad are subject to US tax.
Nonresidents for Taxes are taxed only on their US sourced income.
IRS has determined that F-1 students who have been in the US for 5 years or less are nonresidents for taxes because the IRS code exempts students from the Substantial Presence Test for the first 5 years the student is in the US. See Exempt Individual Decision Tree
Generally you will have to file a nonresident tax return. Nonresident tax returns are filed using the 1040NR form or the 1040NR EZ form. (EZ just means it is "easy" to fill out.) Please note that the popular tax preparation software products like TurboTax and TaxAct do not have a functionality for nonresident tax returns. Nonresidents for taxes CANNOT use those products. Instructions on how to complete the 2014 1040NR form can be found here. The instructions for the 2014 1040NR EZ form can be found here.
Nonresident tax returns can be moderately complicated especially if there are scholarship, stipends, or international tax treaties involved. Additional complications might include investments and capital gains, gambling winnings, etc.
For assistance with the preparation of your tax return you can use, SprinTax , a software product designed specifically for nonresident tax returns or you can engage the services of a CPA but ONLY with one who is familiar with nonresident taxes.