I have small lump on elbow, that is very painfully if pressure is added. what is it and how do i remove it.

Cyst: It may be a small cyst. Let your doctor have a look as he may be able to remove it

Olecranon bursitis: Many things can cause a lump on the elbow. If the lump occurred suddenly, then the likely cause is an inflamed bursa usually on the dorsal aspect of the elbow. The area will usually be filled with fluid giving the impression of a lump. The treatment is to drain the swelling and take anti inflammatory medications in the class of ibuprofen.