I've changed xenon bulbs 3 times without any problems. What works for me is loosening the screws that attaches the headlight assembly, pulling it out slightly so you can take out the black, round plastic that covers the xenon bulb. Once you get the black cover out (this has 3 small torx screws), simply twist the bulb socket/wire (the one that connects to the ballast) to detach it from the bulb. The next step is to twist the round plastic lock that locks the bulb in place, unlock it, take off the old bulb and reverse the procedure to install the new one.. It takes me no more than 30 minutes to replace the bulbs on both sides.

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03 E53 (retired)
07 E70 3.0
07 335i....300hp
05 330ci ZHP