Yeah, carried out this install about 2 weeks ago. I got the kit off eBay. It is a 6000k for the projector lamps and, although I was dubious how good/effective it would be, it is the muts nuts, can't tell the difference between this upgrade and the factory fit.
I found the easiest way was to remove the four torx bolts that hold each headlight in place and pull the headlight assy forward but you don't need to totally remove it. The first thing I did before I started any of the modding was unplug the original lights and connect the xenon kit to make sure it worked! It did, so the next step is to drill a hole through the back of the removable bulb compartment cover to allow the cables from the xenon ballast to pass through into the headlight. The hole size depends on the size of the seal that is supplied with the kit you buy.
Next un-hook the spring that holds the original bulb in place and insert the xenon bulb into the projector housing, then re-fit the spring so the wires from the back of the bulb are located inside the spring, you can't fit the xenon bulb and hold it in place without removing the spring because the wires will trapped by the spring and stop it from clipping into position and holding the bulb in place.
Those two steps are probably the trickiest part of the whole install.
After you have fitted the xenon bulb into the projector housing fit the cabling into the compartment cover by pushing the washer into position into the drilled hole in the compartment cover, then connect up the xenon bulb and push the spade connectors into the original bulb connector then fit the compartment cover back to the headlight and push the headlight back into position and re-fit torx bolts.
All you need to do now is plug the connectors into the ballast units and find a suitable place to locate them in the engine bay.
It sounds more difficult than it actually is!
Check out this link for the kit I bought:
http://cgi.ebay.co.uk/AUDI-A3-A4-A6-H7-XENON-HID-KIT-6000K-UK-SELLER_W0QQitemZ140055403999QQihZ004QQcategoryZ72235QQssPageNameZWDVWQQrdZ1QQcmdZViewItem