Haynes has a great procedure for this. To do it properly, you need to

1. Remove the hood catch from the side of the car on the same side as the bad bulb, and set it out of the way with the cable still attached. Be careful to match-mark the location, otherwise you could get interesting results the next time you try to raise the hood. In order to replace the driver's side light, you'll probably want to remove the battery as well. Make sure you have the radio code if you remove the battery.
2. The side marker light is held in place by a spring. You can see the loop on the end behind the light assemblies once you get the hood catch out of the way. Grab the loop and pull it gently toward the engine until the rest of the spring disengages from the bodywork, and withdraw the side marker light out the front.
3. Remove the three bolts holding the headlamp assembly on. The whole assembly will lift out, attached by the wiring harness to the car. Remove the access panel behind the bulb you want to replace, and replace the bulb. Both the access panel and the bulb are removed by rotating them counterclockwise 30-60 degrees, then lifting out.
4. Reassembly is the reverse of removal. Be careful with the new bulb--halogens are averse to scratches, water, or oil; any of these, when present on the bulb surface, will concentrate the light/heat of the bulb in that spot, leading to premature blowout.

If you don't want to mess with hood catches, etc., it is just possible to remove the passenger-side lights without any of the above, but you run the risk of banging the bulb on insertion, and your hands get kinda scratched up in the process. I've done them both ways on the passenger side, and while it's quicker to just pull the access cover, I'll probably opt for the full disassembly next time.