Yikes! You found an iguana in the road it it let you pick it up? Based solely upon that I'm going to say get it to the vet quick and get him checked over! A healthy iguana would have bolted for the tallest structure around and then would have proceeded to shred you to bits if you tried to dislodge it.
You have some very intensive reading to do, start here:
Iguana Care Information
Iguanas are one of the hardest herps to care for and they require very specific care. They need alot of space, a strict diet, specialized lighting and heating, high humidity, and alot of patience...and VERY deep pockets. My iguana was free but i've easily spent more than $800 on him in the last year and a half.
They are also territorial and can inflict major damage.
I commend you for taking on such a challenge but if it seems like alot more care than you are able to provide we will help you find a suitable rescue or other alternative solution.