It's cool - we can get it. We are smarter than the clip!
_______________ EDIT - man I wrote all this and you already got it!
I think the problem might be that you haven't identified the proper channel inside the weatherstrip, maybe?
Begin by just opening the door. You should not remove any weatherstrip.
At the top of the door, stick your finger into the center of the weatherstrips - there is one that seals the window from the outside and one that seals the window from the inside. The clip is going between these two strips it's a pretty big channel.
The clip is shaped like a U with one curved side on it. It goes between the weatherstrips inside the channel, facing downward. The window will actually go into the clip when the window is all the way up.
The exterior weatherstrip curves up and sort of gets in the way so you need to move that piece down. Don't take it off the car. Bend the one little section down only, until the clip goes in. Put the visor on outside of the clip - not inside it. The outside weatherstrip will seal against the visor.
Yes, the curved part of the clip should face away from the window. The visor goes OUTSIDE the clip. Not inside. Think of the clip as a spring. It's purpose is to use the curved portion of the clip to push against the visor. When the window rolls up the window will go into the clip and the curved portion of the clip will be between the window and the visor.
Drawing a picture or taking a photo might help you visualize it better - wish my car was here so I could do that!
If you read this and still fail, PM me and we'll get on the phone and get it right.