What Larry is saying is you need to pull out the XLR connector first, then put the screw in, then push the XLR connector back into the mic body, then tighten the screw.
The screw is bigger than the hole in the mic, so it cannot fall out of the mic easily. It also has a reverse thread, so when you turn it clockwise, it comes out of the XLR connector and wedge against the mic body and secures the connector.
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Thanks to you I checked my SM58s and found all these screws loose. I was able to tighten them before I lost them.