You have 60 days from the time it came out to deposit the money into an IRA. Tell the IRA custodian it's not a 2012 deposit, but a rollover from a 401(k).
Last - it's practice for these withdrawals to have 20% withheld. Be sure to deposit the full amount (i.e. add back in the 20% withheld) and also be sure it's all reconciled on your 2012 tax return.
Edit - to answer your comment/question. "Most" likely, if the account was worth, say $10,000, you would have only received $8000, as 20% is withheld for taxes. So, you have $8000 in your hands, but to roll over the full amount, you come up with an extra $2000, and give the new IRA custodian $10000. Now, in April, 2013, you need to remember the old 401(k) custodian sent the IRS that $2000. It's tax you paid, and all other things being equal, you'll get it back then.