MINNEAPOLIS, Aug. 9 — Three Egyptian students who failed to appear for their exchange program in Montana were in custody on Wednesday, the authorities said. The whereabouts of eight other Egyptian students were unknown. One student, Eslam Ibrahim Mohamed el-Dessouki, 21, was arrested here on an administrative immigration violation, federal officials said. Two others, whose names were not released, surrendered at police headquarters in Manville, N.J. “In response to hearing in the media that they should turn themselves in to the nearest police station, they did just that,” Steven Siegel, a spokesman for the F.B.I. in Newark, said. The bureau...