Well spotted, it is one of what is known as entomopathogenic fungi many of which occur in the orders Entomophthorales and Hypocreales. I suspect this a species of Entomophthora but I'm not familiar enough with these groups to be sure what you have found without examination under a compound microscope.
Thanks. I did bring the fly home but it was a few days before the fungus was identified and it had dried up by then If I find another I'll collect it also. Should I freeze it or how should I preserve it till it can be collected and examined?