You may want to look into buying a Xenon Headlamp Kit, which will give you instructions on how to do this yourself:
http://www.google.com/products?q=Xenon+Headlamp+kit&oe=utf-8&rls=org.mozilla:en-US:official&client=firefox-a&um=1&ie=UTF-8&sa=X&oi=product_result_group&resnum=1&ct=title
Most of these say that they can be easily installed in less than 30 minutes.
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BMW has made it very difficult to change the headlights. Basically, you have to remove the wheel well and then use this deconstruction diagram to take the bulb out.

http://img110.imageshack.us/img110/8902/headlightpartsku1.jpg

I suspect that the reasoning behind this is that Xenon lamps (supposedly) rarely burn out. However, I've had one burn out myself. I might talk to a BMW service manager. Even if not under warranty, they may replace it for free.
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