To get a refund of your federal income taxes withheld, assuming you are entitled to one, you have to file a federal income tax return for a non-resident alien, form 1040NR.
To get a refund of state income taxes withheld, assuming you are entitled to one, you have to file a state income tax return for that state. File as a nonresident.
To get a refund of the FICA and Medicare taxes withheld by anemployer, the first move is to ask for a refund from that employer, on the grounds that the employer should never have withheld those taxes in the first place because you had a J-1. See IRS Publication 519, section "Social security and medicare taxes", subsection "Students and Exchange visitors."
