Several things. Have your physician confirm the diagnosis. You should drink a lot of water. Your physician will prescribe pain medication and may also prescribe a medication like Flomax (tamsulosin) which may help the stone pass. Go to the hospital if you have fever, cannot tolerate the pain, or if you are vomiting and cannot drink. Stain your urine - you may use disposable coffee filters and save the stone.
Drink fluids. If you are certain you are suffering with a kidney stone, because you just left the er or have had stones in the past, you can try and pass the stone with time. Often this is combined with medication like Flomax (tamsulosin) to aid passage, and narcotics for pain control. Stones less than 4 mm have a high probability of passage without intervention. Although painful, no damage is happening to the kidney.