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: Removing/Installing Direction Indicator
Courtesy of VOLVO CARS OF NORTH AMERICA.
Slacken off the screw for the turn signal lamp two turns.
Press in the catches and pull the lamp housing forwards.