Loosen the screws in the leg. This will allow room for the metal clip to slide in the grooves on the sides (well, by sides I mean front and back) of the lights. Get them where you want them, then tighten the screw back down.
Man, it took me an hour to figure it out. I've never played with one of these before, kept looking at the pieces for a while, before I finally figured it out. I know hardware isn't my strongsuit but geez...
Now all the legs are on Just gotta figure out a little more what I'm doing with the tank!