Broken screw extractors. Commonly found in hardware stores and relatively inexpensive (Less than 20 bucks for a complete set like this)http://www.youtube.com/watch?v=Z_6RUa0fH4U
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In the video this muppet of an idiot taps the screw extractor with a hammer without actually holding the extractor itself, this is stupid and will wreck the broken screw more than it already is and you may lose that biting edge.
For the m5 screw you've broken, find a 1/8" drillbit, drill as close to the centre of the screw as you can. *Very carefully, not a lot of pressure, otherwise the bit will jump around and hit something unintentionally*
Once you've got a small pilot hole *Ideally 1/4" or more is nice, but not necessary, just enough for the screw extractor to bite into the material. Because the screw is so soft, the deeper that hole the better and the more material the extractor can bite into*
Tap the screw extractor into the hole lightly (NOT LIKE IN THE VIDEO! Small hammer, or the end of that adjustable wrench, just enough to dig the extractor in a little)
Turn LEFT or Counter Clockwise and gently bring out the screw.
If you believe there is a little corrosion or the screw may be seized, after drilling the hole, drip a little oil inside the hole and let it penetrate for a little while before attempting to extract the screw.
Hope this helps!
(Also, looking at the picture you've posted, take the dremel tool you have and see if you can flatten out the top of the screw or at least create a small point where a small drillbit can start making a hole, it helps to centre the bit while it's spinning so it doesn't flop around. I also advise you to not clamp on the head with a pair of pliers anymore, it will only damage the head of the broken screw further and create more of a headache)