There is not a screw, you unscrew (by twisting) the bottom portion of the shifter ****.

If you look close you will see there is a portion of the **** that is around an inch long (check for a indention or ridge where the two parts of the **** meet. Twist this lower part of the stock **** setup and it will unscrew. When it is no longer attached to the rest of the ****, you can pull the **** off of the shift column.