Im afraid it is just a case of turning it, it only needs to turn a tiny bit, I know they can be bloody difficult, my suggestion would be that now you have lost the actual glass section, ensure the light is turned of, maybe even turn it off at the mains and grab the bit that is left with pliers to turn it. try removing one of the other in the cluster to familiarize the technique to remove the one that is stuck.
Good luck.