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If your car is still drivable, take it to a gas station and see if someone can throw an impact on that one lug nut.
You'll probably end up replacing that one lug and lug nut, as the threads will normally pull and bind up in the lug nut.
One thing you might try is to soak it good, then hit it with a torch to get it hot. Usually, that will suck the liquid wrench into the threads. I have an impact wrench, but I have found that the star wrench works better. Use a cheater bar (a piece of pipe) to get more leverage.