If you have a J-1 visa, you are required to have a Social Security Number to file your tax return electronically. If you do not have a Social Security Number, you are required to mail the return to the IRS. IRS mailing addresses can be found here.
If you are a J-1 exchange visitor filing a tax return, you will also need to show your Form DS-2019. For more information, see SSA Publication 05-10107, Foreign Workers and Social Security Numbers.