If it won't move up or down, then chances are you'll need to get a kit of replacement parts. They have them at Lowes and Home Depot, as well as most hardware stores. To do the work:
shut off the water
remove the clear plastic handle by removing the screw that holds it on (under the "H and C" cap.
the part that this screw fits into is what you'll replace - it's a ball with some holes in it and a brass stem that the screw screws into.
unscrew the ribbed ring that holds all together
when you pull out the ball&stem there are 2 small springs and rubber seals that can fall out - they're included in the new kit.
replace the rubber seals and springs and the ball same as they came out - should be shown on the package.
put it all back together.
On the other hand, if you mean you can't remove the screw that holds the handle on (it happens), I suggest you CAREFULLY drill a very small hole in it. That should loosen it enough to get it to come out.
ps If you get a kit, there are off-brand kits for slightly cheaper. I've had poor luck with them. Get the brand name (Delta).