Does F-1 student pay Fed tax??

I work as a Research assistant and receive salary every month. I live in Nevada, so there is no state tax. The year before last, I signed some documents, so for the first 5000 dollars, they did not withhold my Fed tax, so I have taken full advantage of the tax treaty, but then I heard from somewhere that "if you have fellowship or assistant ship, you do not have to pay tax. (Even there is 5000 US dollars limit, you could send a copy of the letter from Chinese embassy which indicates that all your income should not be taxed). "

can anybody please clarify that for me? Is IRS going to honor the letter from Chinese Embassy by refunding chinese students Fed tax?? Is Chinese Embassy going to issue such a letter?? Have anyone got a letter like this and received tax money back????

Thank you so much for your help....