If it is not a scam, it should have had something on it that would indicate what it is for, or a letter attached to let you know why you are receiving it.
You can take it to the bank and deposit it, but do not spend the money until it clears the original bank. That can take two weeks or longer, but your bank may release the funds to you before that. Do not spend it until it clears the originating bank! If the check is no good, your bank will charge a small fee for processing (like $5, usually)
Your bank should be able to call and see if the account exists, and if there are funds in it that would cover the check. Or, you can call the credit union itself, and as what the check is for, and who the payer is. That may clear it up. It may be a gift from a relative or something.
Good luck...I hope its real windfall money. But be very careful. I had a secret shopper service send me a check like that recently, and it was a scam. Lots of them out there.