All International students, scholars, and dependents who are nonresident aliens must file form 8843, even if you did not have any source of income for the current or previous year. Form 8843 must be filed for each family member who is in the US on an F-2 or J-2 visa, as well.
There is no monetary penalty for failure to file. However, in order to be compliant with federal regulations, you must file.
The deadline for Federal and State tax form/return is, generally speaking, April 15. If you do not need to file only the form 8843, the deadline is June 15.
If you need to file federal from/returns then you can mail the form 8843 with the federal forms to the Internal Revenue Service at:
Department of the Treasury, Internal Revenue Service Center, Austin, TX 73301-0215