screw stuck in anchor

Hi,
I have a screw stuck in the threads of a drywall anchor (E-Z Ancor). The two twogether are in the whole of a shelf bracket. Since the screw is stuck, trying to mount the whole thing as is onto the wall won't work.
Does anyone have any ideas as to how I could get the screw out from the anchor (threads)? Will heating the plastic anchor work?
Thanks very much! A novice at work.
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Cut the screw head off, and push the remainder into the wall, or remove. Then get another anchor. Tom Work at your leisure!
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Then
I could not decide if it was in the wall or not. Tom covered in the wall. If off the wall just use pliers or vice grips to hold the anchor while you unscrew it. Or cut it off as Tom suggested.
Colbyt
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