The DS-2019 is the official government form that certifies that you are eligible for exchange student status under a J-1 visa. The form identifies you as an exchange visitor and includes information about your sponsor.
You need a DS-2019 before applying for a J-1 visa at the embassy. Along with your passport and visa, you must bring the DS-2019 with you, with a valid travel signature, every time you re-enter the United States. Click here for more info.