Check to see if the caliper is releasing. If not, make sure the rubber brake hose to the caliper isn't collapsed inside and check the caliper to make sure there is nothing wrong with it.
To do this, lift the vehicle and safely support it. Spin the tire to see if it is free. If it is, then hit the brakes. When you remove your foot from the brakes, it should spin again. If it doesn't, open the bleeder to see if that releases pressure to the brakes. If it does, chances are the rubber brake hose is bad. They collapse inside and allow pressure to go one way (to apply brakes) but when you release the brakes, there isn't enough pressure for the fluid to return. As a result, the brake sticks. The caliper itself can be bad too. If opening the bleeder doesn't help, then the problem lies in the caliper.