I received a mail supposed to be from FBI,Washington field office for an action I did not do.Is it true or fal?

I received a mail, supposed to be from FBI,Washington branch office for getting an amount transferred in my name from Nigeria. It wants me to show the proof for a genuine transfer.I do not know anything about it. I think some one is trying to exploit me and my Yahoo email ID/ ? What am I to do now?.How do I know from whom it has come to my Yahoo ID?