No, don't remove the screw. The steel wire is what holds the bulb in place and the side opposite of the screw is held under a tang projecting from the rear of the light housing. Push that end of the wire down about 3/16" or so and once it is clear of the tang, move it toward the back of the bike and release it. It will spring back up but if not caught by the tang it will just rest behind the bulb- then rotate the wire out of the way and simply remove the bulb by pulling it straight back. When you put the new bulb in, you will probably have to hold it in place while you rotate the wire back into place, then press the end down and forward until it is clipped behind that tang. Replace the rubber ring and then the plug on the bulb and you are done. It only takes 10 seconds to do but can take hours to learn how- keep plenty of nasty words ready. Unfortunately it is about impossible to see the assembly while your hand is in there so it has to be done by feel (insert favorite <by feel> joke here).
By the way, make sure the bulb is the right way up as it can and will go in upside down and not really seem wrong. The bulb only goes in one way but upside down is close enough that it will fit. It will work too but produce a tremendous amount of glare and little light on the road.
Brian
So I bought new bulbs from Murph and the other day I pulled the dust cover off to see how easy it wil be. I didn't have a ton of time when I was at it, so I put it back together cause I couldn't quickly figure out how to get the bulb clasp off. Do I need to remove a screw, or is it just a manipulation of the bracket?