You received a check from a vendor because you double paid an invoice and you want to record the refund in the vendor's account.  First, create a vendor credit as described above.  Then you have add a Bank Deposit as described above - BUT for the account, select Accounts Payable and the correct vendor.

Now, go to "Check", select your vendor, and you should be able to add both transactions and clear it out - the vendor credit connects to the A/P transaction.  And save!