i asked my sister she is a doctor. If it is what currob describes, it is a 'chalazion' (hailstone), not a stye. A stye is a blocked lash follicle.
The advice given is spot on.
Also, you can try 10x4 in the shower, with baby shampoo. You put a little baby shampoo on your fingers, and you put your index and middle finger behind the lump, then push the index finger gently out towards the lash, to massage the cyst. Do this 10 times then repeat with the 3 other fingers. The oil in the gland has become hard and has ruptured the surrounding area.
Check the hair follicle to see if it is inflamed, if it is, it's a stye, don't do the above. Chalazions can get inflamed and red though. If it gets too bad just go and see a doc, they cut it out.
She's only been a doc 1 month though. Sounds like good advice though.