If you're on Facebook and don't feel comfortable confronting someone yourself, or don't quite know what to say, Facebook has a Social Reporting tool with some messages you can use and ways to get a parent, teacher or trusted friend to help you out. For more serious things, for instance if it's a partly or fully nude picture or video, if it's defamatory (it's not true and hurts your reputation) or if it's being used to harass or bully you, you can ask the site or service that was used to share it to take it down. In those cases you can report it to the police too. If you are in a situation where a person is threatening to share a nude photo of you unless you provide more nude photos – you should involve a trusted adult and contact the police right away. This is unacceptable behaviour and in many countries it is illegal.
