That is a velvet ant. It is in the order Hymenoptera (bees, wasps, and ants), family Mutilidae - velvet ants. (Ants are in the family Formicidae.)
Velvet ant females are wingless. Males have wings. It is not really an ant. Velvet ants don't create colonies. The species is parasitic on other wasps and insects. Their sting is apparently very painful, hence its other common name of "cow killer"
They are a fascinating insect. Read their story on Wikipedia
Mutillidae - Wikipedia, the free encyclopedia