There seems to be a differeing of opinion on this matter.
The first possiblility is that you must have a pre-approved H1, J1, or any other visas by U.S. immigrations. Then to validate your preapproved visa, you must go to either China or a third country, such as Mexico or Canada.
The other possiblility seems to be that you need only the documents necessary to apply for a visa (of any sorts). You then go to a third contry and visit the consulate there to get a pending approval of your visa in the process of application