Sprained ankle 4 weeks ago. 2nd degree. Wearing ankle brace. Still painful. Anything else I can do?

Reduce edema. Some ankle sprains takes 2-3 months to heal, usually by reducing the edema (swelling) will decrease your pain level. Compression stockings , ice, anti inflammatory medications like Motrin /naprosyn, unna boot (soft cast ) physical therapy, walking cast boot, ankle braces all help with healing and reducing swelling. X-rays are needed to make sure there are no fractures/dislocations. See a physician.
Many possibilities. R.I.C.E. Rest, ice, compression, elevation. Immobilization with a splint or brace may be of benefit in the initial phase of recovery. Oral anti-inflammatory medication may help with the pain and swelling. Once improved, mobilization and physical therapy can help restore strength and function. Healing times may vary.