"Should" is a modal auxiliary verb. Modal verbs like "should," "could," "would," "may," etc., don't have infinitive forms. They are always used in conjunction with another verb (e.g., "should go," "would eat," "could sing").
If you're looking for a way to express the idea of obligation or necessity, you can use the infinitive of "to have to" or "to be supposed to":
* "I should go to the store" could be rephrased as:
* "I have to go to the store."
* "I am supposed to go to the store."