Leave the egg alone for now. Make sure your bird does not break the egg and eat the contents because unfertile eggs go rancid quickly and will poison your bird.
It would be a good idea to have your bird examined by an Avian Vet to make sure she is healthy and not harboring any infection. While she is at the vet's remove the egg.
She may lay more eggs and she may not. It's not a problem unless your bird is sick or eats some of the egg's contents. She will eventually get tired of an unfertile egg. You can also buy fake eggs for your species of bird, and then the real egg can be replaced with a safe fake egg for her to keep warm. If her behavior has changed from friendly to aggressive, this is an indication of illness. Take her to be examined by only an Avian Vet in your driving area.