I found it a bit tough to get this apart as well. I ended up just pulling on the lower end of the oval part to dislodge the two lower clips first. I did not have to compress the clips just sort of pried it against its own interface above the upper clips. It takes some force but comes out with no damage. It would be better to press the clips together while removing but I just couldn't make progress with that method. Once you have it all apart have a look at my post on problems with the screw hole in some parts here
Edit: I am describing removing the oval from the side marker housing, not the housing from the car. So I am quite guiilty here of providing the right answer to the wrong question. Hopefully both the advice above and link will still be useful to some.