||How to Exchange the Xenon bulbs on a BMW E39 - 2001 onwards:
Turn the red/black connector coming off the ballast (connected via thick black wire) counter-clockwise to unlock and remove it from the back of the xenonbulb.
Remove the black rubber boot:
losen the edge of boot to lighthousing ( easy ).
Carefully pull the part attached to the lightfixture, so it comes off completely ( harder ) This requires some force - try to start at one point of the edge, than pull straight out. BE CAREFULL NOT TO USE SO MUCH FORCE THE HEADLAMPS INTERNAL ADJUSTERS CAN BREAK.
If it is stock to hard, new rubber boots can be ordered at your BMW dealer as a sparepart:
The old one can then be cut off with a hoppy knife and replaced with new ones.
Turn the Xenon bulb mount ring counter-clockwise to unlock it.
Carefully remove the Xenon bulb and mount ring, which I believe can be pulled out at the same time by gripping the bulb housing and pulling straight out.
Remove the bulb VERY carefully since it has a support/connection rod next to it, and you don't want to touch any part of the bulb, except for the plastic base. Also, be weary of the orientation of mounting ring for reasembly.
Reassemble in the reverse order.
The rubber boot will come on ( and later off ) easer if you apply a bit silicon
( the same as for rubber seals on your cardoors etc ) on the inside of the boot where it attaches to the light fixture.