i'm not sure how you purchased a gun (legally) out of state to begin with....i guess the stolen part explains that..some police agencies will run the guns ser.# thru for you (there will probably be a charge) and they will come back as stolen...or not
There's no (federal) law against purchasing long guns out of state from a dealer and then transporting as you wish. Some states put restrictions on it and require you to purchase in-state or an adjoining state, although I don't much see the difference between a gun I buy in (for example) Pennsylvania (adjoining) or Ohio (not adjoining). Fortunately, New York is not one of those restrictive states (go figure).
If you purchase a handgun out-of-state, it does need to come to a dealer in your own state. If you want to do a private sale of a long gun between residents of different states - you shan't. Go to a dealer.
Yes, it's a mess, but it's The Law. :-\
To the original question:
There's no simple way for a private citizen to check a gun for stolen. Make friends with an officer and he may be able to do it for you, although that's on the shady side. If you want to do it on the up-and-up, be ready to leave a gun at the station for as long as they want to take to do the check (which really only takes 5-10 minutes if the stupid computers are working right today).
I do hope you received a receipt for the firearm in question, and asked for some kind of copy of the stolen gun report/file. I am suspicious by nature and would hate to think you just enhanced a private collection. Have you called the shop in question to confirm they are actually closed, or to raise Cain?