You should see two plastic tongues on the lower part of the lamp, they are black in colour and have teeth on them. If you push down on them slightly (they are leaf spring loaded) you can remove the lamp.

Make sure the plastic tongues are there.

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2012 BMW X5 (Beef + Granite suspension model)

1995 E300D - The original humming machine (consumed by Flood 2017)
2000 E320 - The evolution (consumed by flood 2017)