Saddle Valve too tight

There is a saddle valve installed on a cold water line to feed my furnace humidifier. I can't turn the handle by hand and I don't know what position it is in. Can I use pliers or how should I free it up so I can open and close the valve??

You can try the pliers, (I don't know how you could "free it up"), but more than likely what will happen is that the "handle" will come loose from the stem and just rotate. NO professional would install or recommend using a saddle valve because they damage the tubing and are NEVER a good quality valve. Loosen the tubing and see if water "squirts out".

Just to expand on HJ's comment about saddle valves. As he says, no pro would install or recommend a saddle valve, but they are often used by homeowners and/or hacks for a quick and easy way to add a supply for ice makers, and humidifiers. What should be used is a tee in the main water supply line and fittings to adapt to a copper line going to the appliance. There actually are a couple of other ways this can be done satisfactorily as well. Main thing is to avoid saddle valves. Yes, a bit more work is involved and a little expense, but worth it.

A saddle valve relies on a sharp pin to poke a hole in the pipe and a rubber gasket squeezed around the pipe to seal things. They're lousy at volume control and not great at on/off, either. They are best to be avoided.