Moen shower handle would spin without water coming on. Thought it cartridge so I replaced. When putting back together, the screw that holds the parts together under the handle is just spinning and I cant remove it.

tweezers?

Are you saying that the new cartridge has no female threads? Or did you strip the male threads? If the screw is still in the cartridge then lift it up by sliding a knife blade under it and pull it out with Harolds tweezers or a pair of pliers and let me know why the threads didn't catch, Good luck, Tom