Check out this cool video of a female American Kestrel preparing her nest and laying her first egg in a box at the Audubon Starr Ranch Sanctuary in Orange County. If you want to know what's happening right now, check out the Ranch's live video feed. You can still see the egg in the top middle of the screen. Our understanding is that this female will lay several more eggs, every day or so, and then incubate when she's closer to having all of her eggs in the nest. It's not clear if she will lay all of her eggs before incubating, or just most of them. We'll have to watch to find out.
Here's another video of the kestrel moving around the nest, with the egg in the background.