Yes, get the needle out! It can jam up your machine if another needle hits it, or if it gets caught somewhere. Don't worry about opening it up. Just put the screw in a place you can't lose it or have it within sight.
I advise not using a spray can. This can cause lint to go inside your machine and mess it up just like anything else can. Use a lint brush instead. (usually this comes with a machine, if not, they are cheap at a local sewing shop). It's good to clean this part of the machine regularly (about once a month or so depending on how often you sew.)
I have a blog about sewing. I haven't updated it in a while because I go on to different hobbies like on rotation, but there's a post there about cleaning the machine.
If the machine is not computerize, try using a stick magnet to get the piece out if you can't reach it yourself. If not, take your machine in to a repair place