Hi,
If its just stuck on or corroded, you can soak it with PB Blaster to get it broken loose. PB Blaster is the best stuff ever for things like that. Soak it and let sit for 1/2 hour or so. Its available at auto parts stores and I think Wal Mart may carry it.
and last but not least, righty tighty, lefty loosy. Make sure your turning the nut the right direction, which is counter clockwise.