When you have completed the archery section of the first level you will cross a bridge climb onto the part of the ledge near a stone bridge overhead. When you are on thhe ledge goto the far side, now pick up the egg and carry on with the level.
Fury Mode
To unlock "Fury Mode" go to the ingame pause menu and hold L1,L2,R1,R2 all at the same time, then enter Square, Square, Circle, Circle.
Secret Eggs Unlockables
There are 16 Secret Eggs to be found in the game, one for each level of the game. Whenever you find a secret egg, it will unlock one of the following items. And the unlockables are unlocked in the following order, regardless of which egg you've found first.