How do I remove this shower handle so I can adjust the water temp?
Your tub/shower valve is definitely a Delta unit. On their older valves with the &quot;Scald Guard&quot; feature that set screw is the only thing that holds the handle on. As suggested in the comments, spraying with penetrating oil and tapping around the edge of the knob will usually break it loose such that you can pull it off. It is not uncommon (or unwise)for plumbers to use a handle puller made exactly for this task to increase the chances of saving the knob/handle:

These are $12 - $20, maybe less for a cheaply made version. Readily available at the plumbing shop, which you should become familiar with for when the knob breaks during removal...
The temp control limit stop should be a plastic widget with teeth on the underside, just behind the knob, which limits the CCW knob travel. You should be able to pull it away and rotate it CW to give the knob more CCW travel toward the hot inlet port.