There are no issues whatsoever in having accounts in several locations, or having all of them with one group, as long as the company(ies) you choose have a long-standing good reputation like Vanguard or Fidelity or such. All financial groups offer some form of coverage similar to FDIC for banks to protect your account (sponsored independent federally backed groups not affiliated with the actual financial groups), and the idea of having all accounts in one place (eggs in one basket fears) is pretty much unfounded for companies like Vanguard or Fido.
As you admit you don't know anything about investing, I'd recommend you read Jim Collins' book "The Simple Path to Wealth" or check out his stock series (the book is based on this website series):
http://jlcollinsnh.com/stock-series/He even discusses the whole eggs/basket thing in one chapter:
http://jlcollinsnh.com/2012/09/07/stocks-part-x-what-if-vanguard-gets-nuked/I would definitely take some time to understand how to invest first before going forward. It's okay to let money sit in a savings account for a month or two while you figure out how things work and what your game plan for the money should be. For instance, an IRA - traditional or Roth - can only be funded each year to the max of $5,500 currently. If you have inherited significantly more than this, you'll need to figure out how to best get that money invested in the most efficient way. While it was suggested that you open a Roth IRA, it might be better to go with a traditional IRA; can't tell from the information given as it's all based on your future goals, your current income/financial situation.
You can also post details (case study) and discuss other account options on this forum (there are a wealth of amazingly savvy investors and money managers on here and all are willing to help you without any ulterior motive, unlike your CREF rep). ;)