1) Remove the bumper:
a) Remove the three bolts holding the top of the grill between the headlights.
b) Remove all the bolts securing the bottom edge of the bumper to the undertray (about seven or so...)
c) On each side of the car, inside each wheelarch:
Remove the three bolts holding the wheelarch liner to the back of the bumper.
Peel back the wheelarch liner where the bumper meets the front wing. Inside, there's a "push in plastic bolt" securing the wing to bumper, with a plastic pin pushed in the middle of it, securing it. Use a small allen key or tiny screwdrive to push out the plastic pin which will allow the plastic bolt to be pushed out. If you follow the joint of the wing & bumper around to the front of the car (inside the wheelarch liner), there's another hex bolt that needs to be removed from inside the wheelarch liner, that goes through the metal body work and secures the bumper from behind.
That should free up the bumper. The sides are a push fit into securing clips under the front wing, so you next need to spring the sides of the bumper outwards, away from the wing and out of their securing clips.
That should allow you to pull the bumper forward away from the car and rest it on the floor. It will still be connected to the car by the foglight wires, but you can disconnect and remove the bumper altogether if you want to at this stage (I just left mine slack on the floor...)
2) Swap over the headlights
Next to remove the headlights, you remove the obvious bolt on the top of the headlight and you loosen off two bolts securing the base of the headlights. You get at these from the "top" with a long torx screwdriver.
Assuming you want to swap halogen headlights for projector xenons, this was my experience....
Its based on swapping UK halogens with a 3-stage manual levelling motor to standard 2003/2006 "dip beam" projector Xenons, with auto levelling motor and normal halogen main beam on both (not the new 2007 bi-xenons which could be wired differently...)
Only real issue was the headlight levelling motor. The "automatic" levelling motor in the HID headlight is different to the 3-stage manual motor in the halogen headlight.
You need to swap over the motors inside the headlight units.
Two issues follow there -
Firstly the wiring plug for the motor is different (3 pin vs 4 pin). So you need to cut the motor connectors off from inside your old headlights as well and swap the 3 pin plug over into the new headlight too, connecting it up to the right wires. Even that's a pain, because the same colour wires connect to different pins in the different headlights - so you need to connect the 3 pin wires back to the same pin connections on the main headligt wiring loom plug, regardless of the wire colour.
Next, you can't just fasten the manual adjustment motor into the Xenon headlight in the same way as it comes out of the Halogen headlight because it fouls the deeper projector beam assembly. By cutting off some unnecessary lugs on the plastic motor mount, I could turn the motors through 90 degrees, mount them vertically and avoid the conflict.
Hope the above helps...
If its not heracy, there's a thread here with mi Xenon retrofit experience...
Retrofitted OEM Xenons - Audi-Sport.net