Early phase one 206 ( pre 2003 facelift ) which I guess are the ones you have by the sounds of it have a small metal nut on the back of the light that needs to be undo first, Peugeot went to the trouble & provided a built in tool for this job, theres a bit of odd looking plastic attached to the cluster that snaps off & you can undo the nut with that or use a spanner.
The laster phase 2 lights just have 2 large clips you squeeze & then you can get at the bulbs.
When you put the cluster back on the car line the peg up with the clear spacer that goes into the hole in the bodyshell.
Lee, June 2007