Hi and welcome to TONMO.com!
If you don't have a home set up for an octopus, its almost impossible to keep it. You need a saltwater aquarium (and it takes about three months to set one up and have it in shape for your octopus).
Also, Cephkid is right, you don't know the species or how big it will get. You probably live near the ocean in an area that has octopuses, and that might help a little in determining the possible species.
I think it would be better to take it back to the sea, second choice would be to quickly find an aquarium store that would take care of it, or someone with a saltwater aquarium. However, many people keep their saltwater aquarium at a lower salt level than an octo needs and would be keeping fish that would attack a small octo. Even people who are quite successful at reef aquariums don't understand the needs of an octopus without some study.
If you'd like to keep an octo, the best way is to learn from this website, then set up a salt water tank, and when it's ready, get your octopus.
Whatever you do, you must do it quickly!
Nancy