if its a rad stat it sounds like the piston inside the valve is stuck at the bottom. to remove the plastic knob there will be a large knurled nut just below the plastic. it might need a set of grips to loosen but if you turn plastic knob up to its highest setting it will release pressure on the spring inside. you should be left with the brass valve only, if rad starts to warm up the thermostat is goosed, if its still cold the valve has seized. u might be able to free the valve by easing it up with ur grips, but it might seize up again if its not used very often.And as Richard said i would bleed the rad just to save ur boiler from going pop! just check ur boiler to see if it has a CH pressure gauge, if it has make a note of the pressure and after bleeding let more water in to system to take it back upto the noted pressure. if you havnt a combi boiler or a gauge then dont worry about pressures.
if the valve is stuck then its a bigger job!!! means a new rad stat.. but try this first....
Mark
December 2008