When you have the whole army selected, look in the lower left of the screen where you see the details of what units are in your army. Left click on the unit you want out of your army in that list. It should now have a highlighted circle around that unit. Now just right click on the map on one of the tiles around your army. (or you can even right click the unit's final destination, although I don't recommend that)
Note: The unit you are trying to make leave the army HAS to have movement points left for the turn. Also, just because the entire army may be at 0 movement left, don't assume that every unit in the army is out of movement. The army's movement value is just the lowest value of any unit within the army. The units within the army don't lose their higher points when the main army reaches 0. So you can move out a higher movement value unit to, for instance, collect a treasure and move that unit back into the army on the same turn. Bit of micro-managing, but helpful.