Is there some reason why you can't open your own checking account? That's really the best solution, and opens up all kinds of other possibilities for money transfer with no fees.
A second choice is to look for a Western Union site that will cash a money order (see below). If you find one, ask them what you need to bring besides the money order (for example, what kind of ID).
Third choice is to ask a trusted relative or friend to deposit the money order, then give you the money when it clears.
And here is the answer from the Western Union site:
You may be able to cash your money order at banks and other retailers (grocery stores, check-cashing locations or other stores where you’ve been able to cash checks in the past). In some circumstances, the bank or retailer may charge you to cash your money order. You may also be able to deposit the money order into your bank account.
Please note, not all Western Union locations, including where you buy a money order, are able to cash them.