It's normal for female birds (hens) to lay eggs sometimes. Your bird hasn;t been exposed to any male birds so the egg is infertile. You can remove the egg and dispose of it. If your hen ever meets a male, she can have fertile eggs. To determine if an egg is fertile, you can candle it. Use a flashlight to see inside the egg and if there is an embryo, it's fertile. Then leave it with the mother to see if she will sit on it for the incubation period. If not you can place it in an incubator until it hatches.
