The I-20 is the document you need to apply for the visa, your school will provide you with this. You cannot receive this without being admitted to and providing financial evidence to your school.
According to US law, financial documentation must be provided to show remaining costs can be covered by yourself. Even if you are on a full scholarship, you may still be required to show some funds. This is done by providing the school with a bank statement or a letter from the bank. There are often forms called Affidavit of Supports which also have to be submitted with your financial documents.

Please do not submit financial documents without speaking to your operations person!