PT. There are many different bursae in the body. Hip bursitis (greater trochanter) can be relieved with it band stretching, ice, nsaids, hip abductor strengthening, injection of steroid, and rarely a surgery. Shoulder bursitis can be relieved with physical therapy exercises (stretching and strengthening of the rotator cuff and shoulder blade stabilizing muscles), injections, nsaids, and surgery.
Ice, NSAIDS, stretch. Common ways of reducing pain from bursitis include: activity modification, ice, nonsteroidals (motrin, advil, (ibuprofen) etc). These are simple things one could institute on their own. Physical therapists in addition to stretching, selective strengthening employ non-invasive "modalities" such as ultra-sound, phonophoreis, etc. Physicians can employ more invasive techniques such as injections and surgery.