First, congratulate yourself! Also, please notify the National Fellowships and Graduate School Advisor, Christine Overstreet at firstname.lastname@example.org.
Be sure to acknowledge the foundation giving you the award. It is doubly important to maintain contact if the fellowship is renewable. Make sure you understand conditions for renewal such as maintaining a certain G.P.A. or providing a report to the foundation.
Finally, inform those who wrote letters of recommendation for you and thank them again.