Originally Posted by
Proofide
Here's a sketch to illustrate what Mudpie said. As he says, look at the elongated slot and make sure you're trying to slide it in the right direction. Then apply pressure with your finger and thumb simultaneously in the direction of the four arrows. Remember the link must be squeezed together before it becomes free to slide. It will reconnect as soon as you place any tension on the chain, but check to make sure it's firmly in place. You should feel it give.
Good diagram! A picture is worth 1k words. It's 10x easier to do than explain.