If I found a live alien it would have to let it live! I wouldn’t kill something to dissect it – we could dissect it after it had died.
We could learn a lot from communicating with it – learning how to communicate with it would be interesting if nothing else!
I think if science fiction films have taught us anything it’s not to start a war with an alien species and dissecting them would probably start one pretty quickly. I think the closest we might come to finding aliens though is if we discover microbes on another planet. But who knows!