The driver side fog light was a little loose on my car. Tightening it turned out to be more of a chore than it should be.
Start by removing the plastic splash guard under the front bumper of the car. There are a set of 7mm screws around the underside edge of the bumper and three plastic fasteners in the middle of the plate. The plastic fasteners are removed by first popping the center disc away with a small screwdriver and then pulling the remaining fastener out.
Once all the connectors are removed you can pry the shield away from the bumper. I found it easier to only pry open the edge you'll be working on because putting the guard back in place is a pain for the little amount of time you're going to be working under the car.
The fog light is secured with a set of 7mm screws. Tighten them until the lamp no longer moves.
Put the splash shield back and tighten it down. Installing the screws first and the plastic fasteners last will help line everything up.