At a new job training but just got a better offer! Need some insight!

So let me explain my situation. I am currently at a new jobs training program which lasts 2 weeks. I’m on my 2nd week with one more day to go and just got offered a job that pays more and is more like the work I want to do. The job training that I am at have put me up in a motel, told me to hold onto my receipts for reimbursement and are meant to pay me on Friday for the 2 weeks. The 2nd better job have just emailed me and told me they want to hire me. I want to take the 2nd job. What do I do to explain to the one that I’ve been training at that I am going to take the 2nd job? I’m also curious if there is any legal ramifications if they pay me on Friday and I don’t end up working for them? Does anyone have any insight? Advice? Anything??

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