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Changing a headlight bulb on an 02-05 ...

make sure hands are clean.
never touch the actual glass part of the bulb
try to avoid the metal contacts too, but not serious.

to start,
theres a special tamper proof screwdriver that you'll need to have to be able to take off the dust cap. or get some vice grips and give a good grip and twist off the security screw.

twist and take dust cap off.
turn AMP connector counter clockwise.
there is a spring-lever that is holding down the actual bulb,
push and spread,
remove bulb,

replace bulb,
push the spring-lever clip thing back,
reconnect AMP connector
put back dust cap,
put back security screw

thats it :smile:
The low beam HID bulb you will need to remove a special security screw and then un-screw the cap. Remove the igniter and they is the bulb.

You beat me to it.
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Thanks for the info.

I was able to change the bulb, and still it does not work. I did not touch anything on the bulb, so this is not the reason it still does not work.

If it is not the bulb, what could it be please?

Thanks again for your help.

Could be the ballast. It's expensive though. To change it you have to take out the headlight as it is screwed in underneath.

Since you didn't specify yet which bulb are you talking about? There are several in the headlight.
I had the same problem: low beam passenger side. I eventually traced the problem to the HID module not being tightened completely down. I guess it needs to make full metal-to-metal contact with the frame and is a ground path.
the ballast is bolted under the headlight.

check the fuse box under the hood.
its located left of the spare tire.
it should be a yellow 20A.

check if its blown, if not, change it to a new one anyways see if it makes a difference before you start taking your car apart to get to the ballast.