You just pull out your I-20 and they stamp it, you need the fee receipt to prove you've paid as well. Tell them you're going to college and everything with you is personal effects.
That's it pretty much. You can formally import the car if you want to get it registered and so on but it's not required unless you plan on keeping it in the US for more than a year. Students are generally treated as non-residents so you don't need to get your DL swapped either.
Remember to file a 1040NR and an 8843 with the IRS every year at tax time, the counselor at the college should have some info on that (or read IRS publication 519).
Read this for more info on importing the car, it will make getting it insured easier:
http://cbp.gov/xp/cgov/trade/basic_trad ... ng_car.xml
There is no duty or sales tax on cars imported as personal effects, it's important to get the CBP clearance paperwork stamped as that otherwise when you go to the DMV to get the title transferred they may ask you to pay sales tax first.
Steve.