Urgent!!! Lost job. Is it correct to do this?

I asked in the previous message about where to find the website for B2 visa. 水中捞月 told me the correct link is http://travel.state.gov/content/visas/en/visit/visitor.html. 

On the website, it is specified that we need to go the consulate or embassy to get the visa. My confusion is: I am in US. Embassy or consulate are in a foreign country.

Can anyone give more details?

Would appreciate any help.

Thanks