It is very kind of you to look after this pigeon. First and foremost, it is not going to be possible for you to set this wing yourself, for several reasons: You don't know if it is actually broken; you don't know the exact location and type of fracture; and you have no way of knowing if the bones are properly aligned after any type of setting or securing that you may attempt. Since this injury involves a wing, it is absolutely crucial that it be mended properly if this bird is to survive, and that will require the expertise of a veterinarian with x-ray capability. Next, it is not safe for you to give any type of pain medication to this bird, since they are pretty sensitive and require specialized dosing. It is very likely that you do not have the ability to administer the tiny dose of medication that this bird will need, as specific syringes are used.
The absolute best thing you can do for this bird, is to get him to a vet or a wildlife rehab center as soon as possible. Since this is a foundling, you may find a vet that will work with you on costs, but that will be up to each individual vet. You may have better luck at a wildlife rehab facility, though they typically require you to give the bird to them. And, it is not possible to save some of these birds, so these professionals will be able to determine if this guy has a chance or not.
Check out the following website for a listing of wildlife rehabilitators nearby.
Until you can get this bird some help, keep him in a warm place, inside his cage. Minimize handling, and make sure that his cage is free of hanging items (swings or toys that may be around). Provide perches low to the ground so that he may hopefully choose one of those (the hope there is that if he does fall, it won't be far and further damage to that wing can be decreased).
Please let me know if I can be of further assistance. This bird is lucky to have found you, I hope he (or she!) feels better soon. Best of luck......