It's a cyst. A doctor can inject steroids to reduce it, or alternatively remove it. Removing it (and the cystic sac) will give you the best chance of it not coming back.

I had that kind of bump or cystic acne on my forehead 4 or 6 six ago and it was really annoying. What I did is go to the doctor and I had minor surgery using only topical anesthesia. It was not painful but it took me an hour to get rid off the bump.