If there is a smooth groove behind the knurling on the extractor rod then the threads are left-hand and the rod needs to be turned clockwise to remove. If there is no groove then the extractor rod threads are right-hand and are loosened counter-clockwise, just like any normal screw.
If you don't know, clockwise means turned to the right, counter-clockwise to the left. If you are one of those people who doesn't know your left hand from your right then I can't help you.