WARNING: This page is about a different car, the 2004 Volvo S40, 2003 Volvo S40, 2002 Volvo S40, 2001 Volvo S40, and 2000 Volvo S40. However, it is still accessible from the selected car via links, so may be relevant.
Fig 1: Locating Steering Wheel Retaining Screw
Courtesy of VOLVO CARS OF NORTH AMERICA.
Slacken off the screw but leave it in place. The screw should be loose enough that it can be unscrewed by hand.