First, go to your local auto parts house and pick up a Chiltons or Haynes (different publishers, but almost identical books) manual that covers you year and model. It will have step by step instructions with pictures and tell if you need "special" tools. The age of the vehicle and your climatic area can be against you. Wet areas can cause nuts to rust in place. Try soaking it with WD40 or liquid wrench for a while then you may need a heavier duty wrench and a breaker bar depending on how stuck it is. A worst case scenario would be that you have to take it to a shop where they can put a torch to it to heat it and break the rust free. (Don't try this yourself as if you set your vehicle on fire, it's your problem. If they do, it's their insurance that will pay for it.)
I am assuming the "nut" is the axle nut found in the center of the axle when you removed the wheel? These sometimes have clips that are bent over the nut to prevent it loosening. They are bent away with a flat bladed screw driver and then the socket will fit better and turn easier. The book will explain any idiosyncrasies found in that area.
I don't own a vehicle that doesn't have the repair manual in the glove box.
