It'll probably not be able to take the membrane off itself (it might fall off however) you can take it out and remove it if you want, is your brooder set up and warm already?
Get some coconut oil or another oil and rub it on the stuck membrane. It’ll soften it and it should come off. You might have to massage a bit softly for it to come off. Don’t just rip it off because it can rip feathers and skin of the chick.
I would disconnect it from the egg, leaving the membrane attached. The chick, once mobile, will remove the rest. I have also done what fortcluck suggested.
Update
My chick is doing well. I did wash the membrane off, Thanks to everyone for the info.
How long does it take for the feet to uncurl? It can barely walk very unstable. When I washed it, it loved when it was on its back while I cleaned the foot and legs. Should I be concerned?
You need to assist it foot. You take some painters tape and make it a boot. Put down a little tape, spread the toes out on the tape then cover with additional tape. This will get the chick used to having its toes spread like normal. (It should have done it immediately).
Give it three days and remove the tape, if it isn't cured you can tape it again. This is the only method I have found to work, but I've only had a 50% success rate with it.