Well, I think I can definetely throw some light on this problem....Actually, to change ur status from any VISA to an F1 u shud and must have an official I 20 from an US university. Then with the I 20 and other supporting documentation needed to get ur F 1 Visa, u can go to an US Embassy and apply for the VISA. During this time u shud submit ur H 4 Visa and then if ur F 1 is issued then u can start ur life as a student rather than as a dependent!!!.
I dont know about other countries, but, for Indians, u guys can get ur VISA changed in Canada....U dont have to go to India to get ur F 1 VISA.
DISCLAIMER : I didnot personally go thru this process as I came into the US as a student to begin with and then moved from F 1 VISA to a permanent resident status (sponsored by my spouse's company for both of us), but this is some info that I gathered for a friend of mine....If u guys are interested u can look up
http://www.immigrationportal.com for any sort of immigration related questions....Look at the discussion groups in particular...
HTH
-Sri.