Firstly, don't take a Petsmart employee's advice on what to do with a wild bird. Wildlife rehabilitators don't kill animals just because they're common--they become rehabbers because they *like* animals, after all, and they do their best to make sure the animals in their care survive, regardless of whether it's an endangered spotted owl or a common crow. House sparrows are a little unique because they are an invasive species here in the US, but I do know that at least *some* rehabbers will care for house sparrows because I looked it up back when I took in a baby sparrow and was wondering what to do.
Now, I definitely think you did the right thing by rescuing the poor bird, but unless it has all its feathers in, it is going to be difficult to take care of. Difficult, but not impossible: I raised a baby house sparrow from the time she was only half-feathered, until the time she fledged and I released her. I'm glad you understand how hard it can be to raise a baby bird, and if you do decide to find a rehabber, there's a nice regional list at http://www.tc.umn.edu/~devo0028/contact.htm that should help you find someone near where you live. You can, of course, ask them if they will care for the bird; if it's a house sparrow it isn't illegal for you to keep it, so it's entirely up to you what you do with it.
If you do decide to keep the bird and raise it yourself, make sure you keep it warm (if it still has bare patches on its body--it can't fully regulate its body temperature until all the feathers on its back and belly have grown in). You can train a desk lamp over it, just put something between it and the lamp like a sheet of paper or a hand towel so it has some shade. I fed my baby crickets bought from a pet store, but this is extremely expensive--I think we spent a total of about 200 dollars--and a better alternative all around is to buy a high-quality canned cat food, and feed it little bits of that. If it's still so young that it gapes (opens its mouth wide when it sees you), aim the food toward the (bird's) left side (your right-hand side) of the bird's mouth; if you look down its throat you'll see it's divided down the middle; the (bird's) left side is the esophagus, and the right side is the windpipe. Don't feed it a seed-based formula; this works well for parrots, but most seed-eating birds (including sparrows) feed their babies bugs so they get protein and other nutrients, and wean them onto seeds about the time that they learn to fly. They need nutrients when they're young; just feeding them seeds isn't enough, as the only thing seeds contain a lot of is fat. Also note that you cannot feed the bird worms; sparrows don't feed their babies worms, and worms can carry parasites which can kill a baby bird.
Once it gets all its feathers in, you can start offering it seeds. It seemed like a long time before my bird would even pick them up, but eventually your bird will start to play around with them, and eventually, learn to shell and eat them.
What you do from there is up to you: my sparrow, Aleda, was a very feisty little thing, and seemed eager to go terrorizing the other house sparrows of the neighborhood. Your sparrow may not be so ambitious; rest assured that if you do decide to release him, his chances of survival are fairly high, especially if you have a bird feeder/bird bath where it can get food and water from. You don't absolutely have to let him go, though; there are actually a fair number of people who have pet house sparrows.
Good luck!