DaveH
If it is the head that you stripped and not the threads on the screw, there is a tool for doing the job -- called an EZOut or screw extractor. They come in sets covering a whole range of screw sizes but you can probably get one just for the screw size you need. They are tapered with a very coarse pitch left handed winding to them. You drill a small pilot hole in the screw, insert the EZOut and then rotate it as though you are backing out the screw. Because of the left handed thread, the extractor advances into the pilot hole and bites into the metal, backing out the screw. I have a full set - and wouldn't be without them. They work very well on screws that aren't corroded in place. On those you are wise to let some WD40 work for some time before trying to dislodge the stuck screw -- but on a piece of equipment such as you have, just drill the pilot hole, insert the proper EZOut and remove the screw. That is all there is to it.
Note added
I just went out in the shop and put a micrometer on the tip of a #1 EZOut. The tip diameter is .033" tapering on up to 1/8". The relevance of this is that you should have no trouble at all extracting screws as small as 4-40 with a #1 EZOut. I could remove even smaller screws, but I have a jewelers bench drill, but even hand held you should be able to remove 4-40, 5-40 or 6-32 with no difficulty. Good luck. Incidentally any tool supply place will have the EZOuts -- which they may simply call screw extractors depending on the manufacturer they handle.
PS
This has nothing to do with your problem except that it concerns getting something out of a threaded hole. Even with care and using cutting fluid, you will occasionally break a tap in the hole when cutting threads. Since taps are hardened, there is no way to drill them out or to drill into them. There are neat tools for doing the job that have either two, three or four hardened steel members that extend into the chip races along the sides of the tap and will allow you (in most cases) to back the broken tap out. Tap extractors really do look like Rube Goldberg invented them, but the first time you break off a tap in a machined assembly that you have put a lot of work into you will really appreciate them. I also keep a couple of sets of these on hand in the shop -- sure beats drilling around the broken tap, then overdrilling and inserting a chilled plug and then redrilling and retapping. Saves on the cussing too.