I've seen a few people on Ask.com and YahooAnswers asking about how to remove the side marker / turn signal lights (the owner's manual advises to consult a Mitsubishi dealership) so I decided to post the how-to since I just figured it out. I'm sure it's posted somewhere else but I haven't been able to find it.

Removal:

1) Find someone with small enough fingers to be able to grab hold of the light housing.
2) Have them push back on theassemby (toward the rear of the car or the wider part of the assembly).
3) Pullout on the front (the thin side).

Assemby:

1) The rear (wide part) has to go in first - put it in the hole.
2) Pull back on the assembly (toward the rear of the car).
3) Slide the front (thin side) in.
4) Release.