Pushing firmly while turning the screw didn't do it, but a whack with the handle of my hammer did!
I think it must have been a bit broken in the first place. Probably needs replacing really.
I feel a bit silly asking this but...
I'm trying to change the fuse in a fused connection unit. It's one of the ones where you have to undo a screw to get the fuse out, not just lever it with a screwdriver. The plastic bit that slides out and holds the fuse just won't go back in again...