Head to Borean Tundra and fly out to map coords 55, 88. There you will have to do a little swimming. Might help if you have a warlock with you, or some form of underwater breathing as you might have to search a bit for the cave.
Unlike most caves that are on the bottom of the sea and have a big readily identifiable entrance this cave is hidden pretty well. Look for the entrance about half-way between the sea floor and the surface of the water. Youre looking for a narrow crevice with sea weeds growing in front of it. Once you find it swim into it and then start looking UP and you will see a pool (and probably crowds of people) leading to a small cave.
Chances are the cave will be packed with people, including trolls trying to block you from getting the egg, and your view will look something like this.
Below is what the cave looks like without a mob of people. Note where to click!
Easiest thing to do is get close to where the egg is, change your camera to a top-down view straight overhead, and move your mouse pointer around in small circles till you see the gear cursor. Keep your pointer on the spot where you got the gear and be patient for it to re-appear, then Shift right click and you'll probly get it. It took me about three tries to get it.
You can only pick up the egg once and it binds to your account.