Yes this has happened to me twice. Once with delivery at 28 weeks and once with delivery at 32 weeks.
They will want to check the baby for any signs of distress and you for any signs of infection and monitor the situation carefully. If the baby seems ok then it is safer at this age to keep the baby inside for as long as possible.
You might go into labour naturally, or nothing might happen for a while. With me nothing happened for two weeks and then I delivered naturally at 32 weeks!
With my second, nothing happened but there were signs the baby was in trouble and I had an emergency c section.
It really is a case of watch and see.
All the advice I can give is ask lots and lots of questions and put your feet up and wait it out! Also, I found that every doctor wanted to give me an internal examination. I resisted this as much as possible as it really increases the risk of infection also made me more anxious.
Both my babies had a period in scbu but are now fine, large, energetic boys.
Best of luck and let us know what happens Plus it is completely unnecessary for everyone to have a look and reconfirm for themselves that your waters have gone lol.