Title says it all.
However, elaborate on what type of alien/what the situation is. E.g, 'what would you do if you saw a vaguely alien-like UFO in the distance,' or 'what would you do if you saw an alien ship land in your backyard.' Etc.
Personally, if I saw a UFO, but never found out what it actually was, I'd most likely live in a tormented state of desperate curiosity for the rest of my life. If I saw an actual alien while alone in the forest, or, say, in my room, then I'd probably end up running away screaming. If it was in a public place, with other people around, then I might actually gather the courage to approach. Hopefully
(The above photo was edited in GIMP. Sadly, the UFO is not real *sad face*)