You probably don't *need* to do anything to it, but I usually wash new things first. I would definitely air it out and check it for bugs before I put a duvet cover on it.
If it smells bad and you can't find signs of damage or insects, then I'd take it to be cleaned.
FWIW, with down, I don't bother dealing with it at home; the local "green" cleaners does down beautifully. At the end of the season, I'd take it to the dry cleaners (a green one if you can) before you put it away.
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Liz
DD (3/2010)
"Make mistakes! Get messy!" - Miss Frizzle