Continuation for both sides:

WARNING: This page is about a different car, the 2004 Audi S4, 2004 Audi A4, 2003 Audi A4, and 2002 Audi A4. However, it is still accessible from the selected car via links, so may be relevant.

Detach cover for main beam from headlight housing.
Unplug connector -3- at main beam bulb.
Disengage wire clip -2- and take bulb -1- out of housing.

Fig 1: Unplugging Connector, Disengaging Wire Clip And Taking Bulb Out Of Housing (High Intensity Gas Discharge, Xenon, Headlights)

Courtesy of AUDI OF AMERICA, INC.