The ABS sensors are held in by a metal sleeve! This usually corrodes as is normal on a car that is encouraged to get mud on it!
The ABS sensor is a fairly delicate device so be VERY careful as to how you get it out! Chances are you will wreck it and have to replace it, not cheap! You will need a new bush when fitting a new or replacing the old, not expensive! When inserting it make sure that it IS touching the teeth on the shaft. It will move back a tiny bit when the car first moves off and then it is set.
Download the Microcat parts manual (GreenOval.com) and then you will see the component parts in all their glory!