Tell -- you'll have to pay it back eventually.
When DH was activated and deployed to Afghanistan, his employer kept paying his salary. I didn't question it and thought they were being nice. Got a phone call one day, and was told I needed to repay nearly $23,000. Fortunately, I had put it in savings (very depressing to take out!), and was able to do so. Would have really messed us up if I hadn't saved it.