My first reaction would be to let the police know, but then I'd remember that I live in East Texas and handing over a free gun is much more suspicious behavior than actually shooting somebody with it. As much as I hate to reinforce stereotypes, there IS a reason they exist.
However, also given that I live where I do, it has almost certainly been abandoned in a remote place after a crime and/or dropped by a drunk. I guess the safest thing to do is call the cops from a pay phone and then go home by another route.
Keeping such a suspicious piece with an unknown history isn't worth it for me: living where I do, the only thing easier than getting a gun illegally is getting one legally. Illegally, you have to call a guy, set up a meeting, watch for tails. Legally, you just walk into Wal-Mart and plonk down some money.