Best to start with a long soak with a GOOD penetrating oil. It sounds like the screw will have to be replaced, but you don't want to make matters worse by breaking it or damaging surrounding metal. If you can get it out, you might be able to save the screw by TIG welding the head and recutting a new slot after dressing down. Also, it sure helps to have the old screw if you need to have a gunsmith or machinist make a new one.
A picture might help, as we don't know whether the screw slot can be used at all, once the threads are soaked. Patience is a virtue here. I've had some extremely stuck screws suddenly come out easily after several months of repeated soaking. While soaking, you could try tapping it with a brass drift to help the penetrant soak in. You could also alternate soaking and heating with a soldering iron. The abrupt change in temperature between the male and female threads can break the bond of rust, corrosion, etc. Did I say that patience is a virtue here? Rushing with dry rusted threads leads to galling, then you're screwed... pun intended. Gun screws are usually small, so things like E-Z Outs aren't likely to be any help.
If any screw slot remains, carefully clamping the action in a drill press vise and using a properly fitting bit in the chuck is a good way of maintaining firm downward pressure while turning the chuck counterclockwise BY HAND.
If that fails because the screw slot is too buggered, sometimes you can carefully cut the slot a bit deeper with a steady hand and a Dremel cut-off wheel. Going too deep into the screw head increases the chance of twisting the head off. Alternately, a small sharp chisel can be used to rotate the head counterclockwise by repeated tapping, but there is the risk of damaging surrounding metal, so it's kind of a last resort.
My all time favorite penetrating oil is Cabot's Tasgon. You likely won't find any because it was discontinued in 1983 due to creosote content. I only use it for more expensive things and things that can't be replaced. I don't even consider Kroil to be a penetrating oil as it has failed getting into threads for me so many times. I don't think it is any better than straight kerosene. I use my remaining supply on things that aren't real stuck, or as an assembly lube. Many folks swear by it... I think they need to get out more. I've had good luck with ZEP 45, pure oil of wintergreen, Burlite, and the 50-50 ATF/ acetone mix. I've tried everything I could get my hands on and most were disappointing.
