If we have a roommate that is not on our lease and we have now told him to leave, what can we do if he doesn’t move?

Assuming that this roommate pays (or at some point paid) rent then you in effect are his landlord.  Since you have the legal right to occupy the premises, you can file an unlawful detainer action (i.e. eviction proceeding).  This means however that you will have to comply with all legal requirements in order to get him lawfully removed.  Typically this starts with written notice of 30 or so days.  You will then file a suit in court and if an unlawful detainer is granted, this person will either have to leave the premises by the date stipulated or you can have the sheriff remove him, forcibly if necessary.  In the meantime do not undertake any "self-help" measures such as changing the locks, etc.  This will work against you.  What you should do now is to contact a tenant's right organization or real estate attorney.  They can advise you of the correct way in which to go about this; you can also contact the local court and see if they have a pamphlet/website that gives this information.

Note:  Having your roommate's name on a lease is not the only way that he may be considered to be a tenant.  In addition to being on the lease, he may have achieved the status of a tenant if your landlord accepted rent from him directly.  Also, if the landlord, put (or allowed him to put) his name on the mailbox/doorbell, and/or if he and the other tenants rented the place together and it was clear that all were on equal footing.  In such a case, the only way to legally remove him from the premises is for your landlord to file for an unlawful detainer (i.e. eviction).  Of course, you may have your tenancy put in jeporady if your roommate is illegal. 

At this point you should meet with an attorney that specializes in landlord/tenant matters or speak with a tenant's rights group.