You can either use a screw extractor, available at sears or home depot (tell the salesman your problem, and he/she should point you in the right direction), or you can use a dremel tool to cut a slot in the screw so you can use a flathead screwdriver. Hit the screw with some WD-40 or penatrating oil before you use the dremel, and the vibrations from the dremel will loosen all of the crud and let the oil penatrate.
Wear safety glasses if you use the dremel. It'll throw bits of metal and abrasive all over, and it's no fun to get that in your eye.