You need to squeeze them.... or, if you have a new HSF you're putting on just clip them off. Once you get the black pins off it'll still be stuck. Be careful eh?! I heated mine with a blow dryer, don't get wild here and get it too toasty. Warmed mine up a bit and it popped off without too much difficulty. Clean up all the pink gunk, have fun.
Depending upon what you're putting back on it you'll also need to remove the square metal riser that's on there... see, it's there 'cuz they put this thick pad/goop, but if you're going to us Arctic Silver or something you'll need to remove it so the HSF comes in contact with the die. It's on there with some double stick and it's not too difficult to get it off of there.... be gentle once again.
Why do you want to remove it?