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This is from the manual.
Replacing the lamp bulb. • Unplug the power cord at the wall socket. • Unclip the light cover by gently pulling the rear edge forward. • Unscrew and replace the bulb by a new one (not exceeding 15 watts). • Replace the light cover by inserting the clip on its front edge into the slot of the thermostat housing and then snapping in the clip on the rear edge.
Basically the plastic cover is push fit so you just need to pull it and it will come off then you can replace the bulb.