Does anyone know how goods are packaged in big stores?

The sheets were undoubtedly made and packaged in Pakistan where working environments are quite different sometimes to those in the West so your wee beastie probably hitched a ride from there. If the spider was dead there is really not much threat to you (unless it's pretending ;-)) and it's probably been in there for up to a year. Tell your friends the story, bin the beast and move on....