Use a small flat blade screwdriver (1.5mm pictured) to press the release tine of the pilot wire, while pulling snugly on the wire to pull it out of the connector.

This can be a fiddly process. It does take a little force to pull the connector out, but not enough to rip it out of the crimp.

Feel free to go a bit ham with the screwdriver. You don't need this plastic housing - the new relay has a new housing. You do need the crimp though, so try to preserve it.

The pilot wire may be orange (most common) or blue (less common), but whether it's teal, auburn, heliotrope, gamboge, or rainbow colored - it's the position that matters :)

Once removed, find and flex the locking tab back into shape so it'll lock on the new connector.