To the best of my knowledge it's on there with 2-sided 3m tape. To get it off, you'd probably want to either heat it with a blow dryer and/or spray some WD40 on the area, then take some fishing wire and work it through an end and pull across to break the tape all the way. Then clean up any tape left on using more WD40 and fishing line or PLASTIC razor blades (don't use the metal ones you could damage your paint). When you're done rinse off all the WD40, bathe, and wax your baby. (As the WD40 will take the wax off.)
It shouldn't leave any holes or anything, though depending on how new your car is, the paint of your car may have faded but not the paint behind the molding...