Thats not the tail lights not working. Check the contacts between the bulbs and the light housings. You will see corrosion has burnt a hole in it, either all the way through or just halfway. Go buy Soldering gun with lead and tin coil. Clean the contacts and put some of that lead and tin on each contact that has corrosion and twist the bulbs back in. You wont get a warning display on your cluster. $7 fix

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2002 Siena Red, Beige Leather, Light Poplar Trim 3.0i X5
Premium Package, Xenons, Cold Weather Package
Rear Climate Package
-Alumimum Running Boards (done)
-19s OEM Style 63 (done)
-Titanium Grills, Tailgate Handle, Mirrors Retaining Rings (done)
-Aluminum Pedals, Footrest, Handbrake Handle(done)
-Clear 04+ Tail Lights, Sidemarkers (done)
-4.6/4.8 Exhaust (bankrupcy)
GO TERPS, GO REDSKINS