What a fun question! Normally, if someone or something is in distress, I would try to figure out a way to help.
I like cryptid idea of opening Reese's Pieces (like in the movie E.T.), however, I never have those in the house.
And I guess it would depend on whether or not the alien appeared friendly. Regardless, perhaps I would grab an old pillow to prop its head as well as an old blanket, then I would run inside, next I would call the police, phone friends, post pictures to prove aliens exist, and then once the alien was carted away, look for the spaceship!