Go to level 4-1 and go to the river with about 5 goombas. When you are there use a fire flower on the koopa walking by the river, and keep using the fire flower to push him to as far left he can go. When you do that go behind the shell facing the water.... more
You need a fire to get to this egg. Go to world 5-2 and keep going straight until you see a room with 4 unlit torches. Use the fire flower to light them. Then a door will open and the "puzzle solved" noise from the Legend of Zelda games plays.