This happend quit frequently with multiple gestations. Your body will most likely absorb the demised twin.
I am confused like feather2e said, at 2 1/2 weeks pregnant a) you wouldn't see anything but maybe a gestational sac on ultrasound and you definately would not be able to see a heartbeat.
Did you possible mistype how far along you are?
I am a little confused as to your dating. At 2 1/2 weeks you would not be able to get a heartbeat, usually not until around 6 weeks do you get a heartbeat. what have the doctors told you? If you are further along like the other posters said, your body will most likely absorb the other twin. That happened to me also.
I had that happen actually, and I didn't do anything and my body absorbed the other twin and I gave birth to a healthy baby girl :)
how do they know that the other one is dead? is it possible that the 2nd baby is just not developed enough to pick up a heartbeat yet? I agree with alaysha though...your body should just absorb the second one if it is in fact dead (bear in mind that twins can develop at slightly different rates) and so it shouldn't affected your healthy baby.
Of course you should keep it! Most likely your body will absorb the other baby anyways. You may have a little spotting but it shouldn't cause any problems to the live fetus.