I usually use some cheap ones off amazon (they are probably the same things), and it can be difficult to get the rounds off of them.
First thing you need to do is make sure all of the rims overlap in the same way. The bottom round's rim should be overlapped by the round above it. (just make sure all of the follow this pattern). This prevents jams in the gun.
Next, the stripper clip should fit snugly into the gun.
Finally, place you index finger under the top round (either right before, or at the shoulder of the round), and push down (near the base of the bullet) with you thumb. You may have to push down hard. Just make sure your hand doesn't slip and hit the clip. It will cut you if you hit it just right.
Here's a video that may help too.
http://www.youtube.com/watch?v=7Z7n54xJ_Q8
(BTW, I don't know why he removed the bolt, it is not necessary)