I just started working in the States a few weeks ago. I am here on a J-1 visa from Ireland. I was under the impression that people on J-1s do not pay taxes. I got my first pay check today and discovered that a quarter of my earnings had disappeared!

My question is, can I get them to stop withholding taxes, and if so, how do I go about doing this.
Otherwise I presume that I have to claim the tax back at a later date. Again, how do I do this?
Also, bear in mind that I am completely new to the American tax system, so you can safely assume that I know nothing!
Cheers,
CSflim.