We received something in the mail from a borrower today which is supposed to be for the payment of their loan. It is called an "International Bill of Exchange". We think it is a scam of some kind. Anyone familiar with these?

You need to do some due diligence to verify authenticity. It could be legitimate (bank drafts are bills of exchange.) International bills of exchange are common in international transactions but they don't normally show up announced. Don't "pay off" the loan or release anything until you determine the source, receive actual funds, etc.

Follow Kaybee's advoce.
Initial check with the drawee bank (you investigate their address/contact information) and if that seems OK - send the item for collection. If the amount is large, it may be safest to have the funds wired to your bank.