Thanks everyone. Our one remaining egg is hatching right now! I could hear peeping coming from my broody's nest this morning, and see a little beak coming out of a crack in the egg. At one point the chicken was helping the chick crack the egg.
It's started to rain lightly, so the chicken has put it under her. We're going to put both the chicken and chick into a box in the garage once the chick is out so it will be warm.
I'll remember all your advice for the next time I get a broody hen and want to make it a mother.
UPDATE:
We've moved both the chicken and chick into a box in the garage to get them out of the rain and cold outside. The weather is miserable here today. (Our chick is yellow and black in colour, and very small).
I peeled back the eggshell a bit to help it get out. Maybe I shouldn't have done that, because it was stumbling around blind for a little while, trying to kick out of the egg (even though it was already out of the egg). Now it's opened its eyes and is huddling under the chicken. Unfortunately my chicken is a first time mother, and can't quite tell when the chick wants to get under her.
But now I have another problem. All that sitting made our chicken get lice really bad. We want to de-louse her, but know it's risky considering she has a baby now and most lice powders are meant for chickens over 6 weeks of age. We dusted her with the powder yesterday before the egg hatched (and it helped, it's not nearly as bad as yesterday), but she still has some left on her. When we moved her into the garage, I found there were more lice in her nest than on her, which I suppose is a good thing, but if I don't control the lice we might not have this chick for much longer.