When collecting mail from the post office you will need to show some form of identification such as a passport or photo driving licence. Specify that you are collecting a Lista de Correos item as these are stored separately from the other stored mail. The Lista de Correos mail is filed alphabetically and it may be worth asking them to check if an expected package was filed under your first name if they cannot find it under your surname. Post offices vary in how long they will hold your mail.