I think my mexican conure has fleas

Question
I just got my mexican conure less than two months ago and she is always very itchy and I thought it was normal. A few days ago she was sitting on top of her cage and she was scratching her head and I saw a little black thing jump off of her head and then she snapped it up in her beak and ate it! I do not know what to do but when we bought her we got a very small dark coloured bottle in her care package. We never opened it. I guess it might be some type of medicine but the pet store never said anything about it at all. So Im wondering whether it is supposed to be some kind of tick cure? What should I do? Is there anything I can do for her at home?

Answer
--The good news is that birds don't typically get fleas, especially a conure that's in a home.  The not so good news is that you've obviously got a pest of some other sort.  

Birds don't usually get ticks either.  Birds are largely safe from MOST bug infestations because the feathers are too dense to get through; however, the exposed feet, face and vent areas are more prone.   Birds in nature (outdoors, tree nests, ground dwellers, etc.) far more apt to have to deal with these things than any bird in a home with humans cleaning their cages every day (a simple cleaning, less than 5 minutes a day, can prevent months worth of having to have expensive clinical, medical treatments)

--- That's the other thing I need to stress: NOT A SINGLE PRODUCT sold in any pet store or online will actually work to treat or help in any way a bird that is either sick or has a parasite (bugs on them or inside them).

I can't stress this enough, so let me repeat:  NOT ONE product will ever work, but many of them will put your bird in serious danger, sometimes even lift threatening.  The thing with the pet industry is that there are no real 'truth in advertising' laws and if someone goes so far as to sue for their pet's death, all they can hope to receive is a huge legal bill (lawyers rarely take these on contigency) and the 'replacement cost' of the pet, as if it were a piece of furniture that got damaged.

-------  So do not, not once, not ever try to treat anything wrong with your bird with a pet store product.   And for heaven's sake, stay away from those 'mite' treatments or things you put on the cage to prevent mites.   These are pesticides and these KILL more birds than they help.   

 Proper mite treatment requires a good cage cleaning and a medicine your vet gives the bird via injection.   That's it.  Nothing else.

--- Since your bird is new to you, it's a good time right now to establish your vet.  Then make sure you have once a year check ups for the best life of your bird that you can give.

 Go here to make sure that you've started out ok to begin with:
        http://www.4animalcare.org/birds

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 And thank you for asking first rather than doing something and then regretting it