It doesn't use screws as such.
If you look at the underside of the motherboard you will see 2 black pins sticking through that have a cut in.
What you have to do is squeeze the slot / cut together, and push the pins through.
Use either tweezers or similar.
Once the pins are out, it may not fall off as MSI used some weird goop to hold it on with. (thermal compound)
Hairdryer is last resort to soften it.