Cheers guys, really appreciate it 
Feeling a little bit better, TheBoy came around on his way back, HUGE thanks to him gunna start a thread on it.
So to summarise that nut goes though an alloy head to the oil cooler? 
Ok no drills!! - Thats prob best anyway i tend to snap the drill bits 
Ok i think its best i replace the bolt, and not bodge job it back together as is.
Many thanks mar892ree for that part number, i'll be onto Vaux dealers in the morning!
- I am guessing as TD says its a left hand thread, and that's why i sheared it?
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Ok methods for getting that bugger out:
Hit the front of it with a chisel, to create a groove. Then get a flat head screw driver and twist. See if it comes out...
Can anyone confirm it is a left hand thread? If so I & TB would have been twisting it with some long nosed plyers the wrong way?
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Again many thanks guys for all the comments, if your ever in Brackley or London, pints on me
Theres no oil cooler mate on a 2.2 ! Just the alloy head ! They have a heat exchanger on the oil filter assy !
I very much doubt if putting a slot in the end of the screw will do any good, but you can try ! The shock of hitting it may even crack the corrosion locking the broken bit in to the head !
I also doubt very much if its a left hand thread ! If you think about it, when bolt/screw is inserted into the broken screw to lock of cable tray, it would undo the broken screw !!
How much is sticking out of the cover/head ! If you have 6mm + sticking out you may be able to get a stud extracting socket onto it !
In reality i think the only real way to emove it , is to drill the bloody thing out, but if you take this course i'd pay to have it done properly !
Hey, whatever happens as long as you dont hit it too hard etc , you wont make it any worse !
Good luck and let us know what happens OK mate