Secure, dark, plenty of blankets is the way to go.

Depending on how young the squirrel is, actual food may not be a good idea. Our dog's vet is MN DNR certified and regularly in-home rescues squirrels that need 24/7 care, as the wildlife rehab where I volunteer does not have staff/volunteers on site 24/7. For very young squirrels (ones that are still nursing), the best substitute diet is generally the same milk product that is given to kittens that are still nursing. We fed him that I think like every 3 hours until the vet came by to pick it up.

The best thing to do in the short term is provide security, warmth, and some water, and get in contact with a wildlife rehab or a vet who knows squirrels.