As 411 and others have said - it depends.
If it was burning I'd come straight back
If it was a straight cut - ie the engine ran down - I'd dump
As for altitude, I'd stay above the 25 nm MSA (and within 25nm) given that the charts (in my country at least) have a 25 nm MSA published on the Jepps.
Is a straight cut an emergency or an urgency situation - would you call mayday or pan?
Unless it was burning (or had damaged the aircraft during its death) I reckon it is an urgency situation rather than an emergency - but there are many differing views on this point.