The headlights in your BMW E46 are xenon headlights. These headlights offer improved brightness over halogen headlights. However, when the xenon headlight bulbs finally fail, you'll need to replace them. Replacement headlight bulbs can be purchased from any auto-parts store. It's generally a good idea for you to replace both of the headlights on your BMW when you replace one of them. This is because both of your headlights have been burning for the same length of time. When one burns out, it is likely that the other one will fail shortly thereafter. The E46 can use a variety of high-intensity discharge (HID) headlight bulbs, but is equipped with xenon headlights in the 4000K-5000K HID range.
Open the bonnet of your BMW and unplug the power connector on the back of the headlight.
Pry off the dust cover from the back of the headlight housing using your fingers.
Grab the headlight by the collar and rotate it counterclockwise and remove it from the headlight housing.
Insert the new bulb into the back of the housing and rotate the it clockwise. This will secure the headlight to the housing.
Press the dust cover back over the headlight housing. Make sure it fits snugly over the headlight. This will help keep contaminants out of the housing assembly.
Plug the headlight connector into the back of the headlight.