I have had a migraine for 3 weeks now. I've seen all the doctors and recieved all the pills. Any advise?

Maybe not migraine. A migraine out of the blue that lasts for 3 weeks sounds kind of unusual. It never hurts to get a second opinion. Anxiety and depression can both present as a headache that doesn't seem to go away. Both are something your doctor can evaluate you for. Also, make sure you're getting good sleep, have had your eyes checked, avoid things like caffeine and alcohol.
Lifestyle. Take the medicines you were prescribed as they were prescribed. It also helps to avoid caffeine, drink at least five cups of water a day, sleep at least six hours a night, not skip meals, avoid fried and sugary foods, control allergens in your environment by vacuuming daily, massage, and neck and shoulder stretches.