I'm such an idiot i should have did more research?

I made a post on Craigslist looking for a job after not getting anywhere with real job applications.well a guy named robert henry who claimed to work for Mystery Evaluation Inc� responded to my ad.he sent me an online application and i filled it out.i emailed him after a few days asking when i was going to start,he responded with you should be receiving a payment soon to get started.i got the payment the next day via fedex.i took the check to my bank and the teller looked at it and said something wasn't right but she wasn't sure so she said she would deposit it and put a hold on it for 7 days to make sure it clears and it don't come back.i check my online account and noticed that it cleared.now i explained all this to that robert guy and he was like when the check clears western union it to another western union evaluator so they can do their job.this has SCAM written all over it and now i know i should have done my research before hand.my question is what do i do IF the check comes out clean? do i give the bank back the money? (wouldn't have a problem doing that) i'm seriously freaking out,any help on what i should do?