I think most of us are in the same situation as you i.e. applied for CEC from within Canada. You don't actually need a US visa, you can use this process called "Flagpoling", where you head to a US/Canada border and tell them that you'll be doing your landing at the Canadian border, or simply tell them that you want to "flagpole" (seniors, please confirm if it's okay to use this term). They'll know exactly what you're talking about and hand you a white/orange sheet of paper called "Administrative Refusal", and allow you to turn around and return to the happy Canadian side. There you tell the officer about your landing (show your CoPR, Passport and what not, along with the admin refusal from the States), and you should be able to do your landing without a US visa.
Check out this awesome guide that talks more about Flagpoling (kudos to ThreeSquareImm for putting it together!):
http://www.canadavisa.com/canada-immigration-discussion-board/flagpoling-a-guide-for-canadian-workers-t142161.0.html
