I'm afraid that your mantis is fatally injured, Gretchen, which is a great pity, especially if this is your first. Some people, like Rebecca, keep mantids on a plant out of their cage, but it does need to be in a safe place, away from large pets and little children. Many folks put a dying mantis like this in the freezer so that they don't have to watch it die, but it will certainly not feel any pain either way.