Fry me an egg.

Literal

Egg [object-を] fry-give-me.

~てくれ is the casual/abrupt imperative form of ~てください — same meaning ('do X for me') with politeness stripped off. Used between close friends, family, or from a boss to a subordinate; would sound rude to strangers. 焼く covers a broad range of 'cook with heat' — frying, baking, grilling, roasting.