Speaking as one that has made his rent in culinary pursuits.... I'd cook it like I do squirrel. Stove-top braise, browned, then covered, with mirepoix and a suitable liquid (coffee, red wine, beer). Make a sauce from the drippings. Serve with biscuits.
I think my old Escoffier recipes may include roasted mice on toast points. Mice would be more like sparrows. Eat bones and all.
/johnny
At first glance I thought you wrote, make a sauce from the droppings.
No, no, no, no, no....