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go to the border, exit the Canadian customs (making sure you have all the immigration documents with you before your exit). Drive or walk to the US customs, tell them you will make an U-turn (if you do not have a US visa) to "land" Canada as an immigrant. The US customs are very used to this situation, and they will issue you a slip denying your entry to the US. With this piece of slip in hand (of course you can put it in your pocket, if you like), U-turn to the Canadian customs and show your Canadian documents and the slip you got from the US customs. They will process your paper work and you will be officially "landed". The point of getting the slip is to show on the paper that you are coming from OUTSIDE Canada. Please do not make a U-turn before you get that slip.