For student Visa , yes you do need finincial documents. No, US consulate office will not be open on weekends. Depending on different consulate office,if might take 2 business days to process your visa. Some consulate office issue visa same business day.

Are you going to be driving back or flying? If you are flying form Canada to US then that airport in Canada serves as port of entry for any US bound passengers. Not sure which one would be the best. Do you mean which consulate office to issue visa?