Currently, I am already in the US and have participated in DV2012. If my entry is selected for further processing, what will be the procedure? What documents do I need? How many years of tax return do I need to present during the visa interview? Where will be the visa interview?

Thank you.

If you are selected, you need to be very careful about when you can actually file the I-485 application for permanent residence, as the DOS oversubscribes the "approvals". You need evidence that you qualify for the DV; such as a passport from a DV country, your HS diploma or higher, visa and I-94 to show you are in lawful status, etc.

Yes, there will be an interview. Good luck!