Hello,
My name is Helen. I have arrived to the US on a J1 status as a trainee in November 2007. I would like to as if I have to file for State Income Tax Return, or just the Federal 1040 NR? DO I need to include some official documents like the DS-2019, copy of my I-94, or just the W-2?
Thank You!

Helen

For federal tax return, you will file Form 1040NR or 1040NR-EZ and Form 8843. You will include on W2. You will get exemption deduction of $3,400 and deduction as per tax treaty between the U.S. and your country.
Read: Your U.S. Tax Return: U.S. Tax Filing Requirements for Non-Residents

On J1, you are exempt from residency for two years. Your income is not subject to FICA taxes.