Hello and thanks for the query.
  the most common types of cysts that grow in the hairy portions of the body are generally sebaceous cyst (or pilar cyst).
A sebaceous cyst is an enclosed sac that is filled with oil or cheesy like material. Usually, this is accompanied by a smelly scalp because of the keratin that is present inside the cyst. This keratin is actually a protein which is responsible for the formation of sac of cells. 
When these cysts on scalp become infected, it can be painful. The area of the scalp where the cyst is can become red, tender, sore, warm, and painful. These are the typical signs of infection.
 If you will try to squeeze or drain the cyst, it will just increase the risk of infection.
You must consult a surgeon and get the surgical removal of the cyst.
I hope to have answered your query however you may revert to me for any further query.
Thanks and best of luck

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