What can I do if I'm a victim of a Lotto Scam?

I received a letter in the mail stateing I have won the lottery out of London, England . Thay sent me a check for the sum of $ 2,995.90. They gave me a contact number to release the check and depoist it into my cheking account. Then I'm to send by money-gram $2,840.00 for international fees, and receive my lotto winnings after thay receive there fees