How to respond to a mayday?

One aspect of radio communications I have always been confused on is how to respond a mayday call. Thankfully I have never really heard one before, but I want to know how I would help in that situation if I ever hear one. I posses a shortwave radio, police scanner and cb radio. I know you can hear distress calls over all three. If I were to hear one, and it sounds like obviously no one is hearing it, what should I do? Thanks in advance!