Summarize:

Cleaning the screw is especially important after attempting to remove it through other methods. Heat can cause rust penetrant and other chemicals to catch fire. To prevent this, dampen a rag with the degreaser, then wipe down as much of the screw as possible.  You can buy degreaser at a home improvement store, or you can make your own with vinegar or baking soda. Be sure to dispose of oily rags properly. Leave them to dry on a non-flammable surface out of direct sunlight. Throw them in the trash after they harden. Take full safety precautions to minimize the risk of accidents from using heat. A good pair of thick gloves can protect your hands from burns, while the extinguisher can prevent sudden fires from turning into a serious emergency.  Wait to put the gloves on until after you clean the screw. This way, you won't get any potentially hazardous degreaser on a good pair of gloves. Even if you are sure you wiped away all of the flammable chemicals, keep a fire extinguisher nearby just in case. Although a cigarette lighter may do the trick, you get better control by using a torch. Any butane or propane gas torch is safe to use for this project. Light the torch, then lower the tip of the flame to the screw's head. Wait for the screw to emit steam and smoke.  To avoid overheating the screw, keep the torch back so only the tip of the flame touches the screw. If the screw starts turning a cherry red color, move the flame away. You never want it to get this hot. If you have a garden hose on hand, you can spray the screw until it is cold again. Otherwise, soak it by pouring water from a bucket or by wiping it with a wet rag. Wait until you can no longer feel heat radiating from the screw. Heating the screw causes it to expand, while cooling it causes it to contract. Doing this rapidly increases the chances of the rust seal breaking. While you can try removing the screw right away, you usually need a few heat cycles to free stubborn screws. Use the torch to heat the screw head, then immediately douse it in cold water. If you find that you cannot remove the screw later, you can always try heating and cooling it again. Choose a screwdriver that matches the screw's head. If you do this after cutting a slot into the screw, you will need to use a flat blade screwdriver. Twist the screw counterclockwise to loosen it. Make sure the screw is completely cool to the touch. You can test it by holding your hand over it. If you feel heat coming from it, add cold water. Pour a generous amount of penetrant over the screw head. As it drips down the screw's sides, turn the screw back and forth to help spread the penetrant. Finally you should be able to free the screw with the screwdriver. You may need to apply penetrant a few times before the screw comes free. Keep twisting the screw back and forth so the penetrant soaks in.
Wipe the screw off with a water-based degreaser. Wear leather gloves and keep a fire extinguisher nearby. Heat the screw with a gas torch until it smokes. Soak the screw immediately with cold water. Repeat heating and cooling the screw 2 or 3 times. Use a screwdriver to remove the screw. Apply rust penetrant if the screw is still stuck.