Changing your status is only an option available to those who are already present in the U.S. under a valid visa (such as the O-1, F-1, or H-1B). If this is not the case and you are currently outside the U.S., you will need to go through the consular processing. This means that you will need to make an appointment with the U.S. consulate or embassy in your home country and schedule a one-on-one interview with a consular officer. You will also need to complete the DS-260 online immigrant visa application and bring the confirmation page to the appointment.