the fans legs is a two part piece of plastic. the black bit on top has the ability to twist. it can twist from an Open position and to an Clipping positition. on the latter position when the clip is pressed down it will clip on to the white bit and hold it in place.
If i remember correctly, you have to turn counter-clock wise then pull up to move it to Open position.
to move it to the 'closeable' position you need to move it clockwise.