Ugh, I hate those damn things. I get them on my boobs or around the crotch region and they hurt like hell. Hot compress and wait till it pops, which it will usually do on its own, eventually. When it does, gently squeeze as much goo out as you can (which will also hurt), wash it with mild soap and water, dab some antibiotic ointment on it and put a light bandage over. Repeat as long as it's still open, because those little bastards can re-infect and swell up all over again. :(

Or if it's really big, your GP can lance it. I've also had that done and it's not fun but it works and at least it'll be safer than trying to do it yourself. My GP also gave me a prescription for antibiotics to take.