You'll have to get a screwdriver and try and pry the black panel that the switches sit in. There is a clip that holds it in right next to the steering wheel. On my car, its to the left of the key ignition. Once you pry it, the panel and all of the switches/wiring and such comes right out. You'll see where the light goes. Its typically right about where the little symbol is on the outside. Just replace the bulb or bulbs and put the panel back in place. The light bulbs are very small.

(If you can't find them at a local store, email me and i will send you some for $.05 a bulb + shipping. I have about 15 spare ones because the place i order from online sent me their back order as well as my original order of 3 bulbs.)
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-Brandon at FSU '88 744ti 137k miles