Hi, Kelly, welcome to RVO-Orchidtalk!! What to do with the pod? Many would recommend cutting if off. It will take from 6 to 8 months for the pod to mature. Having only seen pictures of the seeds inside the pod, I am letting one grow on a paphiopedilum of mine just to see what it looks like. There are breeder/growers that will flask and germinate seed pods for a fee. Pods on orchids from grocery store purchases are usually not worth it.
Raising an orchid from seed - no easy feat!! It takes a large investment in time and effort to grow an orchid from seed. The seeds of orchids are not like the seeds of most other plants in that they require a sterile environment to germinate. It will be anywhere from 3 to 5 years from the time you get the seed to germinate before you will see a resulting blooming plant. If an insect has come along and pollinated your plant, it could be crossed with the pollen of another orchid you do not want to grow. You may not want to spend all those years growing something that is not of good quality.
That being said here is article that will get you started:
DIY - Guide to orchid propagation - Orchid Article Library
Please post pictures and enjoy the forum! Joe