Canarys are not illegal to keep, only the rare or endangered ones are. Take it to the local rehab but if you don't have one near you, you can always keep it. From expeirience, you can feed him soggy cat/dog food, mashed up oats, or boiled eggs for protein. DON"T GIVE HIM WATER! IT will drown if you put it down their throats. Birds don't drink water until they are fully feathered. Put him in a box with a heating pad or used clothes for bedding and warmth. Put him in a quiet room away from people and don't socialize with him too much because when it grows up with all his feathers, you need to let it go :( It's for the best for the bird.
Well first of all you can be fined a lot of money for keeping wild life
Call a rescue shelter and ask what to do
Or
Go to the pet store and get some formal for your bird
Feed it whenever it's hungry, which should be easy since it'll tell you
Hope this helped
Its a newborn canary *