Do I have to set up an estate account with the bank before I can cash a life insurance check.

If the life insurance was payable to the estate as the beneficiary of the policy, which it sounds like it was based on the way the check was made payable in your statement, then yes, someone will have to get appointed as the administrator of the estate (if there was no Will), and the check will have to be deposited into an account set up for the estate. The estate will also need to be properly administered, which includes paying debts and claims against the deceased person, filing final income tax returns for him or her, and a number of other tasks. Only once a complete estate administration process has taken care of the needed tasks and the decedent's debts and final taxes have all been paid can any funds or other assets be distributed to any beneficiary of the estate. If you have not hired an attorney who is licensed in the state where the deceased person had his or her primary residence, then I very strongly suggest that you do so as soon as possible. The attorney should be one experienced with probate and estate administrations. The attorney should be able to help you figure out the proper way to proceed.