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Wow that sux. Yea you probably wont have tools for this. So take it to a pro. I am not exactly sure what I am seeing, but it looks like a peice of the lug is still there, and some of the stud broke off. Basically in these situations, they will put a hole through the stud. Take off all of the other lugs, brake the holy-stud, then repleace the stud and lug.
I would not recommend this job if you do not have the tools, you can really mess up the rims if you slip with the drill. The shops have this kit, that they put into the hole, and it centers the bit and holds it in place.
I unfortunately bought those same janky *** lugs and they suck. I nearly had the same problem but managed to get it loose with some channel locks.
The tuner lugs you have are cheap crap - just like the ones I got. I am presently looking to replace them with something of a lot higher quality.
Your stud is probably damaged but they are like $1 at Auto Zone or O'Reillys. Then you have to take your caliper off and put the new one on. If you don't have air tools - pay $20 and get it done for you.
sighh, I will just write this off as a project to do later. I will post the results when it's done. Probably in a month or 2 haha. Thanks for the help!