drilling out brass is pretty easy. Just remember to flatten the flutes, cutting edge, so it doesn't grab. Remember it is tapered too so it will be a larger dia. in the front and smaller in back so if you try and drill it the size of the beginning of the hole you will eliminate the threads further back. I would first soak it with some kind of penetrating oil first for a few days. Can also do what Mike said too. I can't really understand what you are talking about that the head of the screw is turning but not the threads.
If you do take the whole thing out I can get the male part out of the female if you want to send it to me.