Try wiring up the Application Circuit given in the datasheet and checking the output. That should tell you whether it's working or not.
From the datasheet, it looks like you can just put +5V to pin 2, ground pin 1, and check the output from pin 3 when you shine an IR LED pulsed at 38kHz on it.
Use a TV/VCR remote to test it. I use a different module, but the output is normally high, and goes low when it receives pulses. I hooked an oscilloscope to the output pin, but you might see an LED flash or flicker...