For future reference, you don't need to turn the jewellery in any piercing - it's not going to heal to your skin or anything like that, it's an old myth.
I agree with the people who suggested soaking it first and make sure any crusties are removed from the curled part on the inside, and also putting a bit of lube if you have any onto the end of the stud might help it if you can kinda wiggle it in, heh. Otherwise go to a piercing studio and ask them to remove it for you.