Remove the egg as soon as you are able. By removing any eggs laid, it indicates that the space is not fit for laying or raising young, and it will prevent further nesting behavior (sitting on and protecting the eggs, etc). You will also want to limit your birds access to nesting material (huts, paper, things they can shred, etc). Your bird may continue to lay during the breeding season, but repeating this process is the best way to handle the unwanted laying.
There are cases where birds are chronic layers, and in that case the opposite approach is necessary. If your bird won't quit laying eggs despite you removing them, then leave them with her. She needs to complete the hormonal cycle and feel like she did what nature programmed her to do. If she breaks them, or after a week, remove them.
If there is no male in with the female, the egg is not fertile and would never hatch anyways.
If you are not a breeder, we do not recommend hatching baby birds. Parent-raised birds are not friendly, and the hand-raising process is both demanding and can be dangerous to the baby if not done correctly (aspiration, burnt crop, etc). It is best to leave that to experienced breeders!