If it is indoors, keep all doors closed, and open the cage. The bird will probably go in to eat.
If the bird is outside, then you are in trouble! If you still have the mate of your bird, or another Zebra Finch, then this is your best bet.
You will need to set up a trap with the remaining bird next to it. Put food in the trap. The remaining bird will act as a lure, using its contact call to keep the other bird in the area. Hopefully the escapee will see the food and go in the trap to eat.
I have success fully used a cage with a long piece of string attached to a door as a trap. I would then simply wait until the escapee was in the cage and pull the string to close the door. For this to work, it is essential that the escapee can see the door, so make sure it is very apparant where the opening is.