Unless the hen has been exposed to a male bird in the time leading up to when the eggs were laid, the egg will not be fertile. In this case, most bird owners remove the egg from the cage and throw it away, and most of the time the hens go back to their normal routines.
If there is a chance that the egg is fertile, and you want to raise the baby, you should candle the egg to see if it was indeed fertilized. If it was, you will need to either give it back to the mother for incubation or place it into an incubator if the hen will not sit on it.
For more information on breeding your birds, check out "Do You Really Want to Breed Your Bird?"