It sounds like your bike has "lawyer's lips" - little lips around the front fork dropout that hold the wheel (loosely) in place even after you've undone the QR. If so, you need to unscrew the QR a little more to get it to release.
It doesn't matter which side you unscrew - the two sides are connected, so you can just hold one side and twiddle the other.
Another possibility is that the wheel is free to drop out at the hub, but is prevented from doing so by the tyre being caught against the brake blocks. If this is the case, you may be able to undo a quick-release on the brakes or disconnect the cable. Failing either of those, you might have to let the tyre down.
Is this a new bike? What sort of bike is it? Is it the normal kind of wheel QR with a knurled nut on one side of the hub and a lever on the other? I'm asking because if the above advice doesn't help, we need more information from you to find out what will help.