Hi - I was a foreign student on F1 visa in the United States and had a very brief internship back in 2006 and 2005. I did not file my tax return for either years, but based on my calculation I was supposed to get a tax refund for both year (about 1-2k refund in total). I am no longer studying or living in the US since middle of 2006, but I am now thinking about filing a 1040NR from abroad for these two years and get my refund. So my question is, will the IRS slap a penalty fee for not filing tax return even though they owe me tax refund?

Please let me know whether I should file and what the risks are (and if it's worth filing). Thanks!

If you owe tax, you will not pay any penalty.
But for 2005 tax return, the last date is April 15, 2009. If you miss this date, you will not get the refund.
So if you can not do it yourself, get professional help. Do not miss the date.