The first treatments that is tried is always the conservative/noninvasive ones. It all depends on where the nerve is and what is causing the problem.
1) Resting the area, is frequently the first treatment.
2) Anti-inflammatory meds, like Ibuprofen, are often used for pain to try to reduce any inflammation that may be aggravating the nerve.
3) Believe it or not, Physical therapy is order to strengthen the muscles around the area affected which may help take the pressure off the nerve.
4) If all else fails, then sometimes surgery becomes an option of last resort depending on the area.