When it's that cold, I try to gather the eggs several times during the day to prevent this from happening. This was the first time I had found a frozen one.
I decided to experiment a little. I was curious, wouldn't you be? So, I cracked open the egg to see how solidly frozen it was. It was frozen solid and a little icy. Then I put the egg in a bowl and left it to thaw at room temperature for about an hour. After thawed, it looked just like a regular egg.
So I scrambled it up and ate it for breakfast. It tasted fine. And I didn't get sick or die.