Really depends on the type of shower valve you have. In general, use a wrench to turn the valve. If the wrench slips, use a file to create a good grip. Try good rubber grips available in hardware stores. Be careful if you are trying to hit it with hammer.
If the valve handle is frozen it usually requires replacement. This can be done by shutting the water feeds off to the shower, then removing the whole diverter handle unit by cutting the pipes. Shark bite fittings can be found at any plumbing supply, they are the easiest.