I've not had this happen, but I've read up on it.   From what I've read you can do a couple of things.  If you have a water misting bottle put warm water in it and spritz the chick.  once the membrane is moistened you can try pulling it off.  You can also moisten a paper towel or wash cloth with warm water and hold it around the chick until the membrane is moist.  Make sure to keep the chick nice and warm while you are doing this.