My Shih Tzu's tail has an infected white pimple. What should I do?

It sounds like this is likely to be a cyst of some kind, but could also be an abscess, localized skin infection or some other type of skin growth - pus from an abscess would usually have an odor to it, but not always. You can clean the area thoroughly with warm water and soap, and it's fine to use topical antibiotic ointment like Neosporin as well. But in order to find out for sure what it is and get it treated more effectively, you will need to take your dog to a vet for an exam. He/she can take a sample of the white substance for analysis to help determine what it is, and will advise you based on the results whether it needs to be treated with oral antibiotics or other medication, or if it needs to be surgically removed.