Right click it, and look at Go To Collection.
Another option is to have the thumbnail badges visible in grid view. When a photo is in one or more collections, if you click the little icons connection a drop down will appear that contains a list of collections the photo belongs to,
This only works with regular collections and the quick collection, not smart collections.
For Carlos's suggestion to work, you need to have Thumbnail Badges turned on the Grid View Options (Command or Control J in Grid). It should be on by default.