I switched jobs after a VERY short period and only had $2500 in my 401K. I didn't roll it over to my new 401K quickly enough and have a received a check for $1800 (federal and state taxes were already taken out). Is there a time limit where I can deposit into my new 401K plan and not have to pay the 10% penalty fee? Do I have to deposit the taxes that were taken out as well?

You have 60 days to put this money into a roll-over IRA. You have to deposit the full $2500 into that IRA in order to avoid taxes and penalties. At the end of the year you will receive a 1099-R from the 401(k) plan that shows the withdrawal and taxes withheld, and it will indicate that this was an early withdrawal and hence subject to the 10% penalty above and beyond the taxes already withhled. You will then have to complete form 5329 to document that you rolled the money to an IRA. The taxes already withheld get applied against your tax bill for the year, so you should find that most or all of it comes back to you as a refund after you file your 2009 taxes.