Identity theft

Today I recieved a check in the mail, it was already open(close back with tape). This person tried cashing a check under my name, they signed it buy idk what happened it was sent to me. Well it dates back to 9/14 to 9/27 pay day 10/05 ... anyways it's from a hotel I applied at but I NEVER worked with them. It also has a special note stating that I requested direct deposit for here on out (I assume the person's bank using my name) well idk what should I do or where should I got it who to talk to about it. Do any of you know what I should do?