No you simply turn up at the US CBP post tell them you are flagpoling and not wanting to enter the US. They will issue you a paper for an admistrative refusal which has no impact on future entries to the US.
You return to the Canadian side and do what you need to there possibly allowing a few hours depending on how busy they are.
Plenty of posts on this forum if you search for flagpoling. Also some recommendations on best days/times.
