I just did this today.....It is located just under...by that I mean below the grey one. You dont even have to open the grey thing or the spring loaded cover at all.
It is a halogen bulb that is quite hard to find a replacement for due to the "****" on each side of the bulb are not opposite each other all the way...think 11&3 on a clock.
Make sure you dont get finger oil on the bulb or it wont last.
No tools required to remove the bulb holder...just turn it one way or the other & wiggle.
No removal of the headlight or anything like that is required.
Good luck.
Eric

 

ok man. ill give it a try. didnt expect it to be there...


thanks

 

My bad is is not gray colored but black (just looked) with no wires coming out of it. #4 on the diagram I posted. Just twist and turn. I had to use pliers the last time I took it off because it was too tight. It's been a year or so since I last looked and forgot the color....now I see why you were arguing with what I was saying. Sorry for the confusion.

 

It's the one without any wires going into. Very easy to get out. Audi dealer wanted 15.95 per bulb. I told them to screw themselves and went to the Mercedes dealer across the street. They sold me the exact same bulb for 2.95 a piece

 

Oh, and forget trying to get these at any of the major Autoparts stores. I tried and there isn't one that carries these bulbs and I have been to all of them. Dealer item only.
The box says it's a H6W 12V6W BAX9s. That's what the box says from the bulbs I got from the Mercedes dealership. I got 4 of them at Mercedes for less than the price of 1 of them at the Audi dealership

 

thanks guys... got it out. now i gotta buy one. not having any wires coming out of the back of it is what messed me up.