I ended up taking my Budgie into my vet today. He did not know much about birds and that made diagnosing the problem difficult.
He seems to think it isn't broken and said that if it was dislocated, its not anymore. He thought it looked bruised... and found that the dark colour runs right up the birds back. He also found a small cut on one of the toes, that after prodding a bit, bled. So he then thought it could possibly be an infection. In conclusion, he couldn't really help me.
I'm really unsure as to what to do. I don't want him put to sleep if its something he could recover from and my vet is useless in helping. How do I know if the birds in pain? You guys probably think I'm hopeless... and I definitely am! I've been a rodent owner for years... never owned a bird before. I've had the bird for a few days and I feel like I've failed completely.
(BTW, he's only young and I have no idea if he's a he or she)
Here's a photo I took at the vet while he was examining the budgie. You can see the dark colour going up his leg. And the cut is right on the joint of the foot. (oh, the vet wet the bird to get a better look in case you're wondering)

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