Is it one that has a big head and sticks out? If so you can use a butane torch or soldering iron to heat the screw and break the threadlock, then use pliers or vice grips to turn it.

If not, use heat anyway, it always helps. You can try cutting a slot in it and using a flathead, or pounding a torx into it that is slightly bigger than the hex. and if none of that works, you may end up using a reverse drill bit or ez out.

Just remember to use heat to defeat the threadlock.