Is it a blood feather or a fully grown feather? A new feather that is growing in has a blood supply in the quill, which makes the quill look dark red. It can be dangerous when one of these feathers gets broken because blood doesn't clot well in the quill and the bird can bleed out. If it's a damaged blood feather it's best to pull it. You can do it yourself or go to a vet if you're not confident about it. There's information on how to do that here:
http://www.littlefeatheredbuddies.com/i ... thers.html and also here:
http://talkcockatiels.com/showthread.php?t=33315A fully grown feather does NOT have a blood supply in it, and the quill basically looks white. When a bird bangs its wing against something it will sometimes knock a feather loose, which can cause bleeding at the point where the quill enters the skin. But this is usually not dangerous and you can just leave it alone. Most of the time the damaged feather will fall out within a few hours or a few days, but sometimes it will heal back in place.
I hope that life gets better for you soon!