The best first step is to take it to an American Gem Society member. Many professional laboratories will only accept gemstones from an established client -- not from the general public. There are different laboratories for diamonds and colored gemstones.
Also, if the AGS member is a Certified Gemologist (CG) or Certified Gemologist Appraiser (CGA) with an AGS Accredited Gem Lab, they could possibly identify and value the gem without needing to send it to another lab.