Hmm - when I applied the zagg screen, I didn't end up with any bubbles right after installation. Some haziness was there, and that went away in a day. But bubbles shouldn't occur if you squeegeed it properly during application of the skin. (there may be some very tiny bubbles, and those will go away in a day or so)
I agree with the other folks though - don't pop it. It will be much worse. Wait it out, some more time, and see if the bubble goes away.