There are already some good instructions out there, but Russ' are for 2k1 which are a little different, and I learned a few tricks yesterday that make life easier. So here goes:

Tools:
Need - Phillips head screwdriver
Need - 10 mm socket and ratchet
Nice to have - needlenose pliers
Nice to have - flat head screwdriver

1. Under the car at the corner, you'll see a black plastic underbody panely that's roughly triangular, held in place by a snap, a Phillips head screw, and a 10 mm bolt. Unscrew the Phillips head, unscrew the bolt (it has a Phillips head too, but it's TIGHT so recommend the 10 mm socket). The snap is best released by using a flat head screwdriver and gently prying the center disc out. I popped mine out by just pushing the panel - this causes an entertaining ricochet, and if your snaps have had time to stiffen may break them.

2. Push the flap back, and bend the front of the flap down and away. You can now access the fog, which is held in place by two 10 mm nuts, top and bottom. Remove the nuts.

3. There's a wire that connects from the back of the fog assembly to a connector on attached to the car. The easiest way to remove it is using the needlenose pliers to push the little latch on the bottom part in, and slide the wire connector out.

4. The fog light assembly slides out the front of the bumper. Turn the cap on the back in the direction stated (it's printed on the back of the assembly). You will then see two wires, one of which goes to the bulb.

5. The wire you have to remove is covered by a sleeve, and connects with just a spade connector. But it's tight, and when I started pulling I noticed that the little plastic clip at the bottom started moving. Breaking that would probably be a HUGE pain in the ***, so just hold the plastic outside of the connector with the needlenose pliers and pull the wire out. I put the sleeve from the original bulb wire on the new ones - dunno if that's required...

6. Unclip the bulb, and replace with the new one - just touch the housing, not the bulbs.

7. Plug the new bulb wire in, put the fog back in and reconnect the fog assembly wire (don't need pliers for this). Then TEST THE LIGHT BEFORE YOU REPLACE EVERYTHING ELSE.

8. Screw and push everything back in. The 10mm bolt is tight, so a little oil will help. And to replace the snap, pull the center "stake" completely out of the snap, put the outer snap ring in, then push the stake in to expand and lock it.

It's a pretty simple operation, and these instructions are probably too detailed - especially for skilled mechanics. But since there are other folks like me that don't do this kinda thing much, this made it go much easier without catastrophe.