You should see a tab that can be pushed down...very simple operation!-no tools required.
There are a couple of fine videos on youtube that give the exact location of the tab-but really-it's easy to see.
Cheers
Yes, I agree! But only if you're talking about the *outer* lights, and on the E92. The OP doesn't mention if it's a sedan, coupe, or convertible either. I can only speak for the coupe, and if those are like mine, and they happen to be the inner taillights, then all you do is unscrew that nut and the whole thing should come out, if I remember correctly that is.
If your car is like mine, well I wonder if your sockets were pre 1/21/08 like mine, which there was an SIB for (but if you're like me, you only find out after it's too late). They added a retention collar, and a few months later they had extended retention clips. I think all the sockets have build dates on them.
If you want to see what my inner ones look like before removal, as well as the outer ones that groundeffect refers to, here are a few pics I took during my fix.
http://www.bimmerfest.com/forums/showpost.php?p=6585098&postcount=30