You will not need to file a US return. The way it works is that US dividends are treated like interest. That is, it is taxed at your marginal tax rate. When filing your taxes, the tax withheld will go against the tax owed.
I had recently purchased some US stocks in my non-registered account. When I received a dividend payment, there was an amount withheld for tax. When filing next year, what are the implications of this? Will I need to fill a US tax return or can I include this in my Canadian tax returns?