OK folks, I did a little internet digging (Google is your friend) and found the following on various bird-watching web sites.
What I found was a hatchling, it had no feathers or fuzz or anything, it looked like a tiny chicken in the grocery store fridge. These RARELY survive out of the nest. This one also had a deformed leg, which may explain why it was pushed out in the first place. I could have put it back in the nest if I'd found it, but it could have come from any one of several TALL trees on or near my property. I also could have made a nest out of a plastic bowl with drainage holes punched in it, lined it with dried leaves or grass and nailed it 7 or 8 feet high on a nearby tree in hopes the parents would find it and feed it, but like I said it's not likely it would have survived anyway. This method works much better with birds that are covered with fuzz (think baby chicks) I forget what they're called.
The birds most people find are fledglings, they're fully feathered and almost ready to leave the nest, but havn't quite mastered flying. If you find one of these just leave it alone, its parents will probably get it back to the nest. If it's in danger of getting run over by cars or something you can move them.
Contrary to popular belief, you can touch a baby bird to put it in a nest, its parents won't reject it. Birds have very little sense of smell. A bigger danger, believe it or not, it that your scent will attract a predator to the bird.
While none of the bird-watching sites recommended putting the bird out of its misery it seems I really only sped things up. And because of this experience I now know what to do if/when I find another bird.
Antibubba: The shovel was your basic wood-stocked, steel, square-edged, general purpose shovel, capable of digging any dirt in the lower 48 although it's a little light for Montana dirt in January. It's not a SHS (Short Handled Shovel), not does it have the evil D-handle grip, an evil yellow fiberglass handle, a rubber comfort grip, or the pointed spade-shaped tip. It's the 30-30 1894 Winchester lever-action of shovels.
Thanks for all the kind comments folks. My second-guessing was really a matter of making sure I did the right thing and wanting to do the right thing in the future. It never even occured to me do research what to do with a baby bird, but now the information is filed away should I ever need it again. It's good to know my gut instincts at the time were correct or at least didn't do any harm.