Legitimate random BIGmoney win, or a SCAM to steal my identity/rob me?

[ilovebadbeats]

Guys,

i really am a bit scared here...

I got a letter addressed to me in the mail from a "TNL Payment&Securities INC"
"Online Gambling.Com payment Verification Center.
Tel#: (905)598-2527"

The above is what it says in their letterhead and I have absolutely NO IDEA who they are...

Enclosed was a check for $700. (that appeared to be a REAL check, with a Credit Union name and watermark and all...)

The letter say that I won $32,860.00 USD and that I have until July 14th 2006 to call the phone number in the letter and claim my "Prize".
And it say in BIG BOLD letters in the middle of the letter:
"FAILURE TO COMPLY WITH THESE DIRECTIVES WILL PRESUME US TO CONCLUDE THAT YOUR CHECK HAS BEEN LOST OR STOLEN WHICH WILL RESULT TO AUTOMATIC STOP PAYMENT ORDER OF CHECK."

All my quotes above I have word-for-word taken from the letter...

Now I'm 99.9% sure this is a scam, but how did this "Online Gambling.Com" place get my full name and mailing address???

There is no return address on the letterhead or on the envelope, but the postage was stamped
www.postescanada.ca
so this means it came from Canada...

Has anyone else received this "Scam"/Phishing letter?

What should I do?