Send it to me!! I love Scorps!
What are you going to do? Please don't kill it. They are really cool critters.
1) Try to identify it. Take pics, post them on a site like Arachnoboards or something just so you have an idea what it is. Once you know what it is, you will know more about the potency of the venom in case of a potential sting, you will know how to house it properly(likely not a forest scorp, coming from Mexico), and how to care for it properly. Not all scorpions live in the same conditions. I would initially set it up on a potting soild type substrate with a good hide(clay pot, rock, etc) with a small, shallow water dish. Keep it in a warm place, say 75-85F
2) Do NOT release it. For one thing, it is immoral to release a species non-native to the region(and illegal in the US. Don't know about CA). Another thing is, you are just sending the poor thing to its death. A mexican scorp will have a slim chance of surviving Canada's climate.
3) Set up a nice little enclosure for it. They are nocturnal and like to hide so if you give it a good hide, you will likely never see it out except at night, or unless you flip the hide over looking for him. I have only seen my P. cavimanus out once. I usually drop a cricket in by her claws so she doesn't have to come out. A hiding scorpion is a happy scorpion.
4) Don't try and handle it. It can't sting you if you don't get your hand near it. They will forever be wild. If you have to handle it, you can try long tweezers to the tail, but I would just shoo it into a cup.
5) Feed it live insects like crickets, mealworms, roaches.
If they can't keep it, contact a local exotic keeper to see if they will take him.
Post some pics. I would love to see it!