I'll be honest: this really bothers me.
I do hope that your intention is take the bird to a certified wildlife rehab specialist.
If it is a blue Heron, it is protected by the United States Migratory Bird Treaty Act. As would be many other birds and water fowl.
Here is some info on Great Blue Herons (if that what it is). Will you post a picture?
http://animaldiversity.ummz.umich.edu/site/accounts/information/Ardea_herodias.html
Here is info on the United States Migratory Bird Treaty Act:
http://www.fws.gov/migratorybirds/RegulationsPolicies/treatlaw.html
Here is a Department of Justice release about the conviction of a pair of men who killed federally protected birds. But there have been federal convictions for lesser violations than killing birds. When Clinton was president, I recall a story about a woman who mailed a piece of art to Hilary Clinton. The art contained a bald eagle feather. The collecting of the feather and mailing it to Clinton landed this woman a conviction and two years probation. I believe she also wore an ankle monitor. This was a story reported on news radio; I haven't read it, nor did I find (or look for) a link to it today. Personally, if the facts reported were accurate, I don't support the decision.
http://www.fws.gov/home/feature/2007/conviction.pdf
The point is about not interfering with wildlife -- fascinating though it is. Kind of like we tell our kids in the store: "Look, but don't touch."
Don't misunderstand, I don't know what you have. I'm recommended cautious and responsible decisions once this bird hatches, but you can look into it now.
Do be careful! Depending on what you have and who you talk to, you could either place the bird for rehab, OR someone could press you for the circumstances how you came to take possession of the egg and you could have a problem on your hands. I think if it were me, if I turned over the bird to the wildlife folks, I wouldn't provide much information, I would just turn it over.
Good luck to you and the bird. I'm sure we'd all enjoy pictures regardless what it is. You've got our curiosity up and clearly we are all bird lovers.