My employer shut down the business. He paid me a bonus on a separate check with no taxes with held. How do I report this?

If it's not on the W2 form from your employer, I would report it as Miscellaneous Income. 

Your bonus money should be included in your W-2.  If he did not include it on your W-2, you will need to include it as miscellaneous income. you can enter it by selecting the following:

• Federal 
• Income
• Miscellaneous Income Under Less Common Income