Confused About Stunned Investigators
From the rulebook:


  Investigators: A stunned investigator only receives one  Movement Step
  during his turn. If he becomes stunned  during his turn, he may not
  take a second Movement Step....
  
  ....An investigator or monster may have multiple stun tokens on him,  and
  may only discard one per turn (either during the Investigator  Trading
  Step or the Monster Attack Step – see pages 10–11).
  
  Keeper Turn in Detail
  
  Step 1 Investigator Trading Step
  
  ....After trading items, each stunned investigator may discard one of 
  his stun tokens (see “Status Effects” on page 15)
  
  Step 4 Monster Attack Step
  
  ....If a monster has a stun token on it, then the monster does not attack 
  during this step. Instead, the keeper removes one stun token from the 
  monster


And from the FAQ on the Fantasy Flight website:


  Q: Can stunned Investigators perform actions?
  
  A: Yes. A stunned investigator receives 1 movement step and 1 
  action step on his turn.


So if the investigator is stunned at the beginning of their turn they can perform one movement step and 1 action step (which can be used as a Run Action that would allow them to move another time). There's nothing I see (in the base rulebook at least) that allows investigators to remove stun tokens with an action. Stun tokens on investigators are only removed at the end of the 'Investigator Trading Step' during the Keeper's Turn.