Once you're in the clan:
1. Go to Clan Roster.
2. Go to Clan Options (Where you see Leave Clan).
3. Press the Circle button to open the Chat menu.
4. Now close it.
5. You'll notice that the Leave Clan button is no longer highlighted.
6. Now, press down 2 or 3 times (May need to experiment) and press X -- then you should see a message asking you to select a Player for Removal.
7. Now just move up/down, pressing X to remove them.