Is this an absolutely new born that has never gotten it's eyes open? Or a few hours old and the eye lids have become stuck together?
If absolutely new born I'd want a vet to see him and probably would be a good idea anyway.
You might try very gently wiping the eye lids with warm water on soft tissues and see if that softens up whatever is holding them together. I have seen this happen with foals in a dusty environment. Their eyes become quickly irritated and begin to matter which cakes on the lids and sticks them together. Also happens if the mare is shedding and the hair hasn't been removed from her with a curry or by clipping. It gets in baby's eyes.
Also a new foal that isn't nursing well may be dehydrated and the eyelids turn under a bit causing the eyelashes to rub on the cornea. This is serious. You want a vet to, #1 treat the dehydration, #2 check eyes for corneal ulcers and begin treatment if needed.
I hope your foal is better soon.
Charlotte