OK. Think about it. the chain pulls the freewheel cogs clockwise, and that tightens the freewheel. To loosen the freewheel, you have to turn it counter-clockwise.

The easiest way to remove the freewheel is to put the removal tool in a bench vise, engage the tool into the notches or splines in the freewheel, then secure the removal tool to the freewheel using the QR skewer as Sierra suggests (tight enough to keep the tool from slipping, but not too tight).

Then turn the wheel with your hands on the rim. The radius of the wheel gives you the leverage to loosen all but the mst stubborn freewheels. Turn the wheel just enough to break the freewheel loose, then remove the QR skewer and unscrew the freewheel.