I have the exact same problem. I found out the hard way after yanking hard that there are screws holding the black plastic housing. I just finished baking one of the head lights but now need to buy super glue, now I'm left without a car to drive.

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2002 X5 3.0i Sapphire Black \ Black Leather Interior \ Aluminum Running Boards \ Painted Plastic Trim
Alpine CDA-9815 Deck \ Orion 425 HCAA X-Over Competition Amp \ 2 Orion 15" xtr3 Subs