Refering to the install of the headlights, you should've checked out my DIY: E46 Headlight Replacement
I had the same problem with getting it back in.
Now, about your directional housing... is it the side marker or the blinker next to the headlight?
If it's the one next to the headlight, there should be a hole along the fender where the fender meets the signal where you could insert a proding instrument (like a scew driver or something). That hole leads to the clip that you have to push down. It's a few inches down. It should be just straight down. I know that really means nothing since you've tried, but it's gotta be right there, 3 inches down.