So how should I do this?

i don't think it would hurt to walk in and try that, i just don't think you'll be very successful. my suggestion is to try and network as much as possible. since you have no alumni, let everyoe and thier mothers (literally) know you would love to be an intern at an i-Bank. then try to contact HR departments around the Street. try to develop a repoire w someone in that office. You can start out by saying, "Hi, my name is [ ] and I am very interested in an internship this summer in your inestment banking divsion and was wondering if I could schedule a time to come in and meet you face to face." If they say no, then just say "well I will be submitting my resume and cover letter and I will follow up in a few weeks. Thank you for your help"

and just keep calling them every month or so... it is about 1000x easier if you have someone on the insid ethat will get your resume looked at. and i wouldn't bother until you get that GPA up to a 3.5 -- but you can start preparing in otehr eays until then: join finance clubs, teach yourself about the industry, etc. you shoudl know valuation inside and out, understand exactly what iBankers do, etc.

Anotehr route is to try to specialize in a particular industry. You might have more success if you show genuine interest in a particular industry group and go hard at them. "I've always been fascinated by the gaming industry and I think it will be a very active M&A market in teh coming years so I am looking for experience in that sector. I know you have a very good Gaming Group so I was hoping I could meet with someone from taht group to get a better propsective"

yaddayaddayadda