The issue isn't with the part in your photo. It's the "lock carrier" that you require. Find one in a breakers or even VW they're not too bad. Easier to just get a new one if you're not technically/mechanically minded. There's a guide on here for how to change it, or if you're struggling I'm sure one of us can write it out step by step for you.
Essentially the barrel is keyed and will only slide in one way. Once it's in, you tighten that screw up and it turns a ring inside that blocks the extruded parts of the barrel, thus meaning it can't be removed. Have you tightened the screw as far as it will go without utilizing gorilla strength?