With the screw removed, pull the turn signal straight out away from the front of the car.
Do not pull the signal out and away from the headlight housing without first pulling it forwards as shown in the first picture. There are plastic tabs that fit in the openings highlighted in the second picture. These tabs can be easily broken if this step is not followed.
Once the tabs are clear of their slots you can move the tail light away from the headlight housing to get access to the bulb socket and wiring.