A million dollars is a nice chunk of change, but the first thing to do is to tell yourself that you did not win a million dollars. You won less, because you need to pay taxes. The amount will vary depending on where you are, but in the US you're in the top tax bracket, plus you'll have state taxes on top of that. What's more, you'll need to consider the fact that all of your other income is taxed at the same rate. While there may be money withheld from your check, it probably won't be enough so take that money and put it in a separate place so that you'll have it when you pay your taxes.
The next thing to do is to understand what a million dollars is. While it may be rich to you, it's not movie-star rich. It's not Oprah rich. It's probably not even never-work-again rich (this depends on your lifestyle, investments and expected lifespan, of course).
After this we come to many options. Think of the future. Investing is a good idea, as your money grows. If you can avoid invest it well (I suggest low-fee index funds) and avoid touching it, this can provide for a good early retirement. Another good idea is to buy a house (or pay off your mortgage). This frees up a significant amount of money each month. Some people will say that the interest on a mortgage is less than the income from investments. On the other hand, investments may not pay off.
