Melt it again, bind the plastics together by leaving the pen in there overnight.
The next day, slowly, twist the pen off. The other plastic should come off with it as well as the screw.
Either that, or you're more screwed.
EDIT: Just looked at the youtube in-video commentary. You already re-melted it? By the way, I thought you were supposed to use one of the blue Papermate pends with the large bit of plastic on the top of their pens...
2nd EDIT: I suppose your last resort would be to actually buy a screwdriver for SNES online, heat the tip, and stick it into the screwhole and hope that it re-re-melts the plastic and allows you to grip the screw...
Here's a link to eBay. It's only $5 (USA) plus shipping