May be a bad CV (constant velocity) joint.  The plastic piece you pulled
out may be the boot that covers the CV joint.  It usually cracks and comes
off with age allowing the CV joint to be exposed.  The exposed CV joint
will then fail and cause the "clicking" noise that gets loudest when you
turn.  If the left side has failed, the right side most likely will do the
same soon.  

Ok, is that causing the steering wheel vibration? is it fixable?. Thanks

Another Question: Can I still driving?

Sounds like you need a CV joint.  The thing you pulled out was the cover
that keeps the grease in.  If it is clicking when you turn the CV is
gone and you need to replace the CV driveshaft on that side of the car.
 It is about $100 for a rebuilt unit and it takes a few hours to
install if you have the tools.  If not you are going to be out a few
hundred since it also has to be aligned after replacing the CV driveshaft.