Brush the setting and stone with a soft bristle toothbrush and a little dish soap in warm water to remove accumulated oil and dirt. Add the dish soap to warm water and brush the stone and setting, dipping it into the soapy water between scrubbing, until the stone and setting are clean. Rinse with warm water. An ultrasonic jewelry cleaner also does this job well, if you have one. Follow the manufacturer's directions to clean your stone and setting.
Examine the setting closely to determine how the stone fell out. Most commonly, the stone catches its edge on something and pulls free of the setting. Occasionally however, one of the prongs can break off of the setting itself. Broken prongs require professional repair.
Use a small flat-headed screwdriver with a scrap of thin leather over the end to coax the setting's prongs open. The leather prevents the hard steel in the screwdriver from marring the setting. Properly opened prongs just barely allow the stone into or out of the setting.
Set your stone back into its setting. Apply a bare minimum dab of super glue to the stone where it meets a post to hold it in place when tightening the prongs again. Too much glue will show and ruin the appearance. You only need enough to hold the stone in place temporarily. The intent is not to hold the stone with glue alone but to assist you in holding it still.
Push the prongs down onto the stone using the screw driver and leather. Do not over tighten the prongs, only press them down until they touch the surface of the stone. Tighten opposite sides as you move around the stone to keep the pressure even.
Polish your jewelry to remove any smudges or scratches you may have made on the piece during the repair process. Use a soft cloth and a commercial polishing compound to restore a brilliant shine.