It's held on by a couple of screws. See the attached lousy picture. The two larger screws closest to the front of the loco are the attachment points for the piece in your post. There is another plated piece that needs to be removed first (has a guide for the tab on the pilot truck) - did it fall off too?
Be sure to orient the piece so that the raised portion points downward, so that it helps to guide the tab on the pilot truck.
Hope you can find the screws.