Ouch. You should really go to the emergency room. It needs to be removed; it could have done some damage going down and will do even more damage coming out, if you catch my meaning. This is nothing to shrug off; please seek medical attention promptly.
It depends on how big it is. I would call your doctor or if your insurance company as an ask a nurse number call it. When my mom swallowed glass that was in her drink, she was told to eat lots of bread right away and let it pass, but that was a long time ago and the protocol may be different now.