A stuck pixel is a coloured dot most noticable when the rest of the screen is black.
A dead pixel is a black dot noticable when the rest of the screen is white.
Burn-in (also known as image persistence) occurs when part or all of the display stays on screen for long periods without changing.
If you have a dead pixel then there is nothing you can do. However if you have a stuck pixel then there is a small possibility that you may be able to get it working again. LCD burn-in can also be improved (but not completely eliminated) on LCD screens.
To try and fix these problems you can download the applet at www.jscreenfix.com
and follow the instructions there. Note: this applet cannot be downloaded or operated if you are using Internet Explorer. Instead use Firefox
or another compatible browser.
A proper screen blanker (one that keeps all parts of the display changing reasonably frequently) is a good idea on any type of monitor.