Yeah, like Chad said, no clips.
It's just being held on by that rubber seal now. It's pretty annoying to get a grip on the taillight, but you just have to grapple with it and tug it out of its place. Trying to grab it on the window end with either your fingers or a flathead as mentioned above would help. And pull straight out, you'll feel the rubber start to give and the light will be free... still attached to its wires of course.