I have a sparow nest in my lamp on my house. Put it back quickly. If it's an English sparrow, my advice would be to smash the egg and do likewise to the rest of 'em in the nest.
English sparrows are imported bullies that have very harmful effects on native bird populations.
Besides, the sparrows were carried here against their will. The bulk of human immigrants came voluntarily. Bide your time and put the egg back. If you can't find someone near you, try calling the conservation department or even vets in your area who may be able to direct you to someone. If you are a member, please log in.