Where’s an Egg? is one of those silly little Videlectrix games. That is to say, it’s made by the Homestar Runner guys. You may want to play the game cold, as I think part of the fun comes from having no idea what’s going on.
Otherwise, check the extended for a breakdown of what you’re supposed to be doing.
Spake ssfsx17 from the forums:
The gameplay basically consists of going to various locations and asking people about other people and their belongings, especially the egg. I find it to be a beautifully simple simulator of what it’s like to be a Soviet policeman – you can afford to kill two innocent people as long as you catch the culprit with your third bullet, and if you fail, you get sent to a gulag.