First: An inherited IRA (which is an IRA that you receive as a beneficiary from someone other than your spouse (there are different rules for spouses)) can never be commingled with the your own IRA. It needs to be kept separate. There are different rules for distribution.
Second: Now that you have received a check, it is too late to establish an inherited IRA. You needed to have the custodian of the decedent's IRA set up the inherited IRA for you or do a trustee to trustee transfer to a custodian who would set up the inherited IRA. Unfortunately, you will now be taxed on the IRA distribution.
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