If you want to form a new plant, you need to put it in well drained moist soil. In your area you should be able to find some bark compost to grow it in which is ideal. The more roots it has the better. Azaleas do not grow in water, in fact it usually result in root rot that kills the plant.

If it doesn't have roots, you need to research rooting azalea cuttings. First, it requires just using the tip of the sucker.

Here is a link that might be useful: How to Grow Rhododendrons and Azaleas

Thanks, rhodyman, I'll give it a try. I just stuck it in the water 'cause I didn't quite know what I was going to do and wanted to keep it alive long enough to do some investigating.