Photos of the early stages:
The female Monarch can lay up to 500 eggs in her lifetime! They lay them 1 at a time, usually on the underside of the milkweed leaves. The eggs are slightly pointed on the top and a very light cream color when they are fresh. You can tell when one is going to hatch because the tip will turn dark. That dark spot is actually the baby caterpillar's head!
The above image is a fresh Monarch egg under a microscope. There is actually a lot of detail in the shell.
The eggs take 4-5 days to hatch, depending on the temperature. The warmer it is, the faster they develop. The baby caterpillar will usually eat the shell when they first emerge, and then start chewing in a circular pattern on the leaf around them.