Central in working with nightmares is the fact that you're safe in dreams. Even if the monster gets you, there is nothing that can happen. Contrary to the superstitious belief some are still spreading, dying in a dream does not mean that you really die. Either the dreams continues with a new scene were you are alive again or you wake up.
Realizing that nothing can hurt you in a dream opens the way to resolve nightmares. One approach is to program yourself to face your fears in the dream. Don't be disappointed if this does not work right away as it can require some focus and determination to make this step. You can do your self-suggestions at various moments. A suitable moment is just before going to sleep. Also very effective is immediately after waking up from a nightmare. In that case you could also try to replay the dream in your thoughts, with the minor difference that you imagine facing whatever frightens you.
If you have problems recalling a dream even though you wake up frightened there are various possibilities. The nightmare is so very frightening that from some sort of psychological self-protection you forget the contents immediately after waking up. Try to rule this possibility out as good as you can. Don't move at waking up, stay in exactly the same position. Try to remember anything, however small or trivial. Then wait a few minutes and see if something else comes back.
If there doesn't seem to be any dream at all, then perhaps it is not so much a dream that is frightening, but your body that is playing tricks on you. Something you may want to consider in this case is self-suggestion before going to sleep. Instead of focussing on facing the monster in your dreams, ask for an uplifting dream that will help you to sleep well and to wake up with a good and happy mood.
Finally, there is a slight chance that you're suffering from night terrors. Night terrors occur during the stage of light sleep and are usually accompanied by shouting and sitting straight up. Unfortunately night terrors are still a mystery and there's no treatment.