Post a picture of the screw head.
There's multiple options dependant mostly on how much meat you have to work with, where the screw is, size of it, does it sit flush with the surface or does it protrude above the surface etc etc
My favorite method (assuming the screw head is protruding from the surface) is to dremel a good deep flat head notch into it and then use application of heat to the steel around the screw (not the screw!) then penetrating oil THEN a spring loaded impact driver and a hammer, one good whack and she'll come out.
Or the head will snap off....then you can drill into the screw shaft and use an extractor bit and a small impact gun.
If that fails drill it right the hell out and tap/die fresh threads for a new bigger threaded screw etc