I found an egg, what do I do?

I've played the game for about an hour now and came upon a Pokémon Stop. It dropped Poké Balls as they usually do, but it also dropped an Egg.

What do I do with this Egg?

Solution 1:

You can follow the step-by-step instructions on Incubators and hatching Pokémon Eggs

When gathering items at PokéStops, you may find a Pokémon Egg. Place the Egg in an incubator, and the Egg will hatch into a Pokémon as you walk.

To hatch an Egg:

1. In the Map View, touch the Main Menu
2. Touch Pokémon
3. At the top of the screen, touch the word Eggs.
4. Select one of your Eggs
5. Touch Start Incubation
6. Select an incubator to use on your Egg
7. Walk to hatch the Egg

Each Egg displays the number of kilometers you must walk for the Egg to hatch. In general, the more kilometers required, the rarer the Pokémon that will hatch. A notification will appear when the Egg has hatched.

Tip: Make sure you have the Pokémon GO app open while you walk. Kilometers walked when the Pokémon GO app is closed won’t count toward hatching your Eggs.

An incubator can only hold one Egg at a time. To incubate and hatch multiple Eggs at the same time, you can purchase additional incubators in the shop.

Solution 2:

To make the Egg hatch you need to put it in your Egg Incubator, you will find this under Items. Upon putting the Egg in the Incubator you will be prompted to walk a certain distance for the Egg to hatch.