Not all pimples develop heads, i reckon this will go away naturally, the tissue is inflamed.
You could try anti-acne medications topically (retinoids,BHA,AHA), and anti-inflammatory medications orally (paracetamol,ibuprofen,aspirin)

@melovesuThis could be a sebaceous cysts or a closed comedone, unless your prone to hypertrophic scarring but you would notice that elsewhere. When we pop a pimple it can drive bactiera deeper into the skin creating worse infection.A Derm can extract with a laser, blade excision, or electrosurgery. A general derm might give you a steriod and see if it subsides.

Try the things @Atrophica said first if you wish which are general acne treating technique for home.

You might try hot compresses as well and see if that does something(just don't burn yourself).

Sometimes these things subcide on their own when the body deals with the bacteria.Target/Amazon have those plasters / Hydrocolloid Bandages, also called Acne Patches now to bring it to a head if there is more bacteria. Hopefully this is not staph and see a practitioner if it gets worse!