Turn on a water faucet. In some cases, if the pipe is not completely frozen you can still get a little water through the pipes. Running this water will help remove the ice build-up in the pipes and well pump.
Look for any visible frost on the exterior of the pipes or the pump. This will help you determine if the freeze occurred before, at, or after the actual pump.
Turn a space heater on near the pump. If the freeze is only slight, the warming ambient air may be enough to melt the ice in the pump. Make sure the heater is on a stable surface if you will not be watching it. Keep the heater running for a few hours and check the water flow again.
Wrap the pipes leading in and out of the pump. This will help warm up the pipes and loosen any remaining ice. Use insulated pipe wrap.
Test the water again. If you still have no water flow, you will need to call in a professional plumber to thaw the pump the rest of the way out.