House is bugged,Was Sent A Recorded CD of My Voice, Now What Do I Do?

My sister found a CD next to her door and thought it was an old music CD. Put it in the player and it was a recorded conversation she had a few days ago in the house. It isn't the phone because on the recording when she left the room , you couldn't hear her anymore. Should she call the police? The FBI? How do we find the bug? (On a budget) Thinks it might be in her computer but not sure. Thinks she might know who did it but is not sure. Doesn't know who sent her the CD.