Assuming you are referring to an extraterrestrial goat and not an undocumented immigrant, there are a few things you could do with an alien goat.
If the goat is friendly, you could keep it as a pet. You would need to make sure it had a comfortable place to live and enough food and water. If the goat is not so friendly, you could sell it to a research facility or zoo. They would be able to provide the proper care for the animal and conduct any necessary research on it.
If you don't want to keep or sell the goat, you could always release it into the wild (assuming its native planet is habitable for goats). However, this option comes with some risks. The goat may not be able to find food or shelter and may end up dying. Additionally, releasing an foreign species into Earth's ecosystem can cause all sorts of problems like disease outbreaks or competition for resources that can harm other animals.