My 5 year old has a small blood filled blister on his finger. What should I do?

Protect it is all. Leaving it alone is best--cover with a bandage if it needs to be protected. It may be tempting to puncture it, but that increases the risk of infection and won't help it heal any faster.
Let it alone. As long as the skin is intact you could just follow it. If it is open i would recommend carefully clearing away the dead skin.