Like shipwright said, check to make sure there isn't another set screw below the first one. If not, with the set screw removed, spray WD-40 or some other rust remover down the set screw hole and wait about 10 minutes and try to evenly apply pressure on both sides while trying to remove the handle.
If all else fails remember this, a window regulator goes for about $75.00 new, whereas a window handle runs about $7.00. So be careful not to mess up the regulator.
I once had to get two pieces of 1/4 plywood about a foot long, paper towels and two long screw drivers and laid the paper towels across the door panel to protect it, then the plywood over the towels across the door panel vertically, then sliding the long screw drivers between the plywood and window handle on both sides at the same time to remove a stubborn handle. Worked for me, good luck.
