Joined: Sep 2009
Posts: 2968
You need to get an ITIN (Individual Tax Identification Number) from the IRS and then file a NRA (non resident alien) tax return.
You may have to prove that you did not have a net gain while gambling, because if you did 'earn' money then you won't get all/ part of the withheld monies back, because technically it is income that you will be required to pay the tax on.
You can do all of the work and forms yourself. If you ask a professional accountant, they are not supposed to charge you (because they aren't licensed to do US returns) so many may decline to do it.