I'm a bit new to the electric guitar domain, so I got a bit scared because when I was playing the guitar. I used the bridge to distortion the sound (I hope it's correct), and at some point I pressed a little hard on it and then the strings lowered, but one of them just jumped out of the little case that was being held in. After that I tried to lower it more to put it back somehow, but I have some things that are keeping the strings still. I don't know how to explain and I could use some help from someone to tell me how can I put the string back, and what just happened.
It sounds like one of your strings slipped out of the saddle, which is the part of the bridge that each string sits in. The saddles look like little boxes.
Usually guitars installed with Floyd Rose bridges will also have a "locking nut" installed. This is at the top of the neck where the tuning machines are. There should be some allen (hex) screws holding down some small metal plates over the strings. If you have this, you will need the hex wrench that fits the screws, hopefully included with the guitar.
Loosen the screw at the nut over the string that is misaligned (usually the holder is over a pair of strings), de-tune the string until you have some slack and gently replace the string into the saddle slot.
You will then have to re-tune the string, possibly having to re-tune the other strings as well. When you are in tune or close, tighten the string holder at the nut back down, and use the fine tuning knobs on the bridge to finish tuning.
EDIT: reading the question again, you may mean that the string is now disconnected, or loose from the bridge. If this is the case, you do a similar procedure to the above, loosing the nut string holder, but you also have to loosen the screw at the back of the bridge that holds the little metal square block. When that is loose you can slip the string end in-between the block and saddle (look at the other strings to see where). Holding the string end in, tighten the screw until the block pinches the string, then re-tune as above