Its been a while since I have had to change one of those bulbs, but I believe that you need to use a screwdriver. There is a slot on top of the headlight housing at the corner of the fender and front clip, and you need to remove it to get the signal out. I believe that it is a philips head screw.
If it is not that, then it is like all the other Mercedes and has a clip that you need to squeeze. You can gain access to this by reaching around the back of the headlight assembly, behind the signal lamp, and the clip will be there. Just squeeze it and push out.