I am new here and searching for this exact question as well. I have a 2002 A4 with the D1S Xenons in it. Only year they made em with those model of Xenons other than 2007. The most expensive ones as well
OK, here it is:
For an Audi A4 year 2001-2005:
There are 4 screws that hold the head light unit in place, you need to remove the complete unit to gain access to the bulbs.
1. you will have to mask off the bumper under the head light first, this will stop you damaging the paintwork.
2. you now have to pull off the electrical connector block this is done by squeezing the small bridge on the side of the block.
3. remove the top 2 screws completely, then slacking off the bottom 2 screws but don't remove them.
4. now slowly pull the head light unit out being careful not to damage the paintwork.
5. lay the unit on a towel to stop it from damaging whilst you unclip the back cover, these bulbs are H7 55 watt.
6. replace bulb and reinstall same as removal. job done.
The two bolts at the rear can be difficult to locate first time. Looking at the nearside headlight the lefthand side one is level with the base of the headlight about halfway along its side. The right hand side bolt is hidden below the cables that come out of the inner wing and run directly behind the lamp cover. You'll need to cut the clip holding the the wires in place to gain access. Matchstick fingers are also handy!