Terra Firma,
I think Richard has this pretty well summarised, however, don't be worried about the US Embassy, it is all quite straight forward.
I was bemused myself until kind personnel at NAC put me straight. Obtain your I-20 from the school, get D156 and D157 forms (I think that is right) from the Embassy, these can be obtained at the following address:
United States Embassy
PO Box 499
Leeds, LS3 1XU
Fill those babies out and send them off, and hopefully hey bingo your Visa turns up and week later
(or it did for me).
Be aware of the following. You must pay the visa application fee (£32.00) at the bank
before you send the forms to the embassy. You can do this at Barclays. There are also other things you need to send to the Embassy aswell as the forms, such as your passport, photos, intentions to return to the UK, evidence of funds to support yourself etc. This is all explained in the forms you get.
With all that has happened I thought it to be wise to get the visa, it is only £32.00, and could save you a whole load of hassel at US immigration! Just a thought.
Hope the above makes sense!!
Cheers