Gene,
This happened to us this past weekend. I had to remove the tie down at the bottom of the window to get the tension loose enough to work with the shade. Once you do that, you should be able to slide that plastic back into the frame.
There is also a plastic end cap that secures that shade to the shade frame. Make sure that plastic cap is back on or you will be taking it apart again soon to do the same thing.
The plastic tie down looks like a tread spool. The screw is a square head so you will need special bits to remove it.
I hope this helps. Good luck!
Tom
Tom & Nancy
TV: 2005 Silverado HD-2500 Crew-cab Duramax/Allison
5er: 2005 2955rl