All students from outside of the EU/EEA that come to study in Finland need either a visa or a residence permit. Most students come to stay in Finland for more than 3 months (degree students, exchange students) and therefore they need to apply for a student residence permit before entering the country. If the studies last less than 3 months (for example a summer school), you only need a short-term visa. Read more about these below.
Most detailed and up-to-date information about visas and residence permits can be found from the website of the Finnish Immigration Service Migri as well as from the Finnish embassies around the world.