I have a delta single handle shower handle I need to remove. I do not know how. The two screws in the cover plate are easy. But there is a tiny access hole which I presume is locking in the handle. Some type of set screw. I do not know how to proceed. Advice would be much appreciated.

Get an allen wrench set and remove the set screw.

http://c.shld.net/rpx/i/s/i/spin/image/spin_prod_252240601?hei=245&wid=245&op_sharpen=1&qlt=85

Why are you removing the handle?