Do nothing about the egg. If there is no nest, the dove will not incubate it. My guess is that she was into the egg-laying cycle and for some reason lost her nest, yet had to lay the egg. It may also be infertile. There is no way you can hatch it, and even if you did, you could not keep the youngster alive. In addition to all that, it is illegal to keep native wild birds in captivity.