G’Day from down under
Becky 
Welcome!
Congratulations on the first egg!
Your hen will not sit on the eggs to hatch them unless she is broody. A hen will normally lay a clutch [10 or so] of eggs and then settle down for the 3 week incubation period but only when broody. Non broody hens or breeds not prone to broodiness will not sit on an egg.
Also, it is not recommended to attempt to hatch eggs from a hen new to laying. I am not sure of the recommended period of time, but you should let her at least lay a few before attempting to hatch them; assuming your rooster is doing his job and they are fertile.
A warm light will not be enough for the chick to develop and if you do not have the option to use a broody hen but you still want to hatch chicks, you will need to get an incubator and set up a brooder box.
The above is just a general overview and please do not be afraid to ask any specific questions if you have any.
These three previous BYC discussions might be of some assistance to you:
Topic of the Week - Hatching Eggs
Topic of the Week - Incubating eggs
Topic of the Week - Broody hens
I hope you enjoy being a BYC member. There are lots of friendly and very helpful folks here so not only is it overflowing with useful information it is also a great place to make friends and have some fun.
If you would like to share
Pictures and Stories of your flock, you have come to the right place. BYC’ers never tire of these and do not back away slowly or commence eye rolling when the photo album or home videos come out
to have you join the family. Enjoy your time here at BYC! 
