Can I get my H1B visa here without going back to the Philippines? I have an approved H1B petition filed by my employer.

I have an A2 visa being a dependent to my wife who works at the consulate here. She has A2 visa as well being the principal. My employer filed for an H1B petition for me and this got approved recently (about 2 weeks ago). My employer's lawyer said I need to go back to Manila to get my visa there. She said it is the only way. Is this true? Can I just change my visa status here? If yes, how? not so sure if this is where I should put my answers to your question... Thank you for the reply. I have copy of the approval notice and I do not see anywhere that says I-94. All I see here are the following information: 1. Receipt Number 2. Case Type - I129 3. Notice Type - Approval Notice - with Class (H1B), Validity date and Consulate (Manila). If I do not see an I-94 anywhere on the I-797B (Notice of Action) form sent to my employer, what does that mean? Also if the I-797B form says Manila, does that mean I can only get my visa and not anywhere else like Canada or Mexico as you have mentioned? I have an I-94 on my passport when we entered the U.S. with A2 visa, is that the same thing? No I have not waived my diplomatic immunity yet. Do I need to do this now? My employer's lawyer did not advise me to do so (at least not yet).