Hi I came to US as student (F1-visa) in 2006. I have been filing 1040 EZ since 2006 and now I realized that I filled the wrong form. Did I fill the wrong form? Can I change that or fill another one?

On F1/OPT you are exempt from residency for 5-years. You must file non-resident tax return Form 1040NR or 1040NR-EZ and Form 8843. Your income is not subject to FICA taxes but you must pay federal and state income taxes.

For 2006 and 2007 you must file amended tax return Form 1040X with 1040NR/NR-EZ and 8843.
Read: Your U.S. Tax Return: U.S. Tax Filing Requirements for Non-Residents (http://taxipay.blogspot.com/2008/03/us-tax-filing-requirements-for-non.html)