Hi, christine,
From a student's stand point, two places I would go for information first:
1. U.S. Immigration Services
2. The school I apply for.
A Visa is basically all you need to enter the States. Look for the information on
U.S. Immigration Services website, and see what you have to do to obtain a Visa. There could be different supporting materials you would be asked to present when you interview with an U.S. immigration officer in New Zealand. Just be sure you read the relevent information thoroughly.
Contact the Admissions Office of the school you apply for. They would advice you on your application process, as well as Visa issue. A few things on school's side: official transcript, standard test results, diplomas, immunization form.
Hope it helps.
Saludos,
Mao