A money order is a sheet of paper that is a safe alternative to personal checks or cash. You specify who will receive the money order, and both you and that person must sign it to be valid, which reduces theft. It also pays in advance a money order.
Your best option is to collect a money order at the same entity that issued it, be it a bank branch, a post office or another location. Check exchange locations, convenience stores and supermarkets may be alternatives, but be careful with the rates. Wherever you go, you should probably show an ID.