Feel his leg, gently, to see if there is any movement that shouldn't be there and to check that the bones are aligned. If you are unsure, practice on another bird first, first feel along the leg and if it feels normal, gently move it at the joints, and then try to move each section of the leg toward the middle and outwards. Again, do this gently and if there is any movement that should not be happening, stop. This would indicate a break. If you think you can set it do so. Otherwise he will need to go to a vet. If there isn't a break, I wouldn't splint it. But he needs to be contained in a warm, dry, small area so that he can let the leg rest. Swimming will be helpful but otherwise limit activity.