Advice on big commission check

I have an excellent problem and don't have the knowledge to solve it. I received a large commission check earlier this year (~20k) but have no idea what to do with it. I currently have no 401K/IRA, but I am under the impression that if I create one and pour this money into it, I will get a large tax return next year and thus get a chunk of the money back that I lost in taxes. I hope I haven't waited too long to take advantage of this, what should I do?