if I need to go to India to get my visa stamped

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[DesiOPT-FaceBook-Admin]

Hello there,
I live in US. I am on H4 dependent visa. My husband works for a pharma company. This is my first time I will need to get my Visa stamped. I was wondering if I need to go to India to get my visa stamped or I can go to any nearby country to get it done. Your response would be much appreciated