Local hardware store should have some kind of bit that would do the trick.
http://www.asseenontvhot10.com/produ...A#.VS3OtsnD_qA
As for the screws, you're probably gonna have to get those from a music store.
I'm assuming you're talking about the long screw at the base of the bridge that goes through the saddle.
If so, you could easily remove all tension from that string and you should be able to remove the screw by hand. Push the saddle back to give you enough of the screw head to grab.