Depending on the country you are first entering, that is the embassy you need to go to.
A quick google using the French embassy in Trinidad
http://ambafrance-tt.org/france_trinite_tobago/spip.php?article379ALL SCHENGEN VISA APPLICANTS - please present the following together with the supporting documents listed in the appropriate category below:
* Schengen visa application form
* A valid passport with at least 2 full blank pages and six months validity remaining at the time of application
* 1 recent passport-size photograph on clear background
GENERAL PUBLIC - please provide 1 original + 1 photocopy of the following supporting documents:
* proof of purpose of stay: letter of invitation (for private or business trips); or letter of acceptance and estimate of cost of study (for study up to 90 days); or official document from medical institution confirming necessity for medical care at that institution and estimate of cost of treatment (for medical reasons)
* proof of return travel: roundtrip ticket reservation (flight, train or ferry) with detailed itinerary, originating from and returning to the country where you live
* proof of accommodation: official certificate of accommodation called an “attestation d’accueil” (France) or a “verflichtungserklärung” (Austria) to be acquired by your host from the local town hall when staying with family or friends, a hotel reservation or a rental contract
* package tour reservation with details of travel and accommodation (if applicable)
* proof of visa or other entry permit, if required, for country of final destination (in case of transit)
* proof of travel medical insurance: insurance policy certificate, letter or card with details of overseas medical insurance coverage of no less than 30,000€ covering emergency medical expenses, hospitalisation and repatriation
* proof of socio-professional status and sufficient financial means: job letter stating position, starting date and salary (if employed); or company registration or letter from your banker (if self-employed); or pension slip or statement (if retired); or school letter (if student); AND bank or credit union statement no older than 3 months
* proof of legal residence in Trinidad and Tobago: foreigners should present their work permit or permanent residency certificate or stamp
* proof of parental consent: visa applications from minors (persons under 18 years of age) not travelling with one or both parents or a legal guardian must include a letter of consent from the parent(s) or guardian accompanied by valid ID and the child’s birth certificate