
These are quite common in our breed, a nuisance rather than a real problem in most cases.
they can be removed using a minimal excision technique, which can be done under local anaesthetic. A large needle is used to get into the cyst, the opening is made a bit bigger, the gunk cleared out, and then the lining pulled out with forceps, trimmed away and a stitch or glue used to close.
This is a cheaper and less unsightly option to the usual shave and GA, leaving you with a dog in a coated breed that is unshowable for 6 months to a year.
If you have been given AB's then it may be infected, but it won't simply go away until it opens up (on it's own or through intervention) and the contents cleared out.
My husband has one on his jaw, and has put off having it dealt with for 18 months or so. her is the article relating to humans with the less invasive technique described. Well worth printing off to show your vet.
http://www.aafp.org/afp/2002/0401/p1409.html