two ways of doing it
Mr. Jagjivanram,
there are two ways of getting F1 done:
1,Through the international students office of the university where you have got an admission. It will take around 4 months to change your status to F1 but u will not have to leave the country.
2. about going to canada or mexico, this is not possible now as they (these US embassies) have stopped giving the appointments for status change after Sept 11. So if you want u can try it out by going to your home country(India , i guess) and apply for new F1 visa.
If you have full funding then you can try it out.
I was also in a dilemma like u are in now. I also had full funding but I did not take the risk of going to India and so applied it through International Students office here, its the safest bet I feel.
Anyways,
all the best.
with regards
KMB