Stephen:
You DID make a mistake, but it's easy to correct.
You need do NOTHING about the state tax returns. Those were filed correctly.
Just prepare Form 1040NR-EZ for each year in question. Since you are an Indian citizen, you CAN claim the standard deduction, though for 2001 through 2003 you dod not need it. You may need to go to
1040.com Website to get the Form 1040NR-EZ for those years. Print the word 'AMENDED' on the top of each Form 1040NR-EZ.
Then prepare a Form 1040X for each year, listing the old and new tax data. No additional tax will be due. On Page of the 1040X, explain your error to the IRS and ask that your non-resident alien status be re-instated. Send all the amended returns in ONE envelope with a cover letter explaining what you are doing.
It will take a month or two, but eventually the IRS will respond with a letter stating that they have accepted your amended returns as filed. Once that happens, you will then be back in compliance with the tax law.
Then