Ice pack, soak. Try soaking in warm water and alternating with ice pack. Take a stool softener such as colace or milk of magnesia (magnesium hydroxide). Consider seeing a surgeon, who can remove the hemorrhoid. Don't hold your stool, which will only make it harder and more likely to hurt when you do pass it. Also, this could be an abscess. If does not improve with conservative treatment, see a doctor.
Sitz bath. Try soaking for 5-10 minutes in a warm bath with some salt thrown in. If you're not better in a day or two of doing this a couple of times/day, seek help.