It's a good idea to check your car's headlights once a week or so. And do it in the daylight—you don't want to get caught out at night with a burnt-out bulb. Even in daylight, the check is as easy as turning them on and looking at them. Finding out what type of replacement bulb to use isn't much harder. Check your owner's manual first. If you can't find the information there, you can find it at your local auto-parts store. You'll need to know the year, make, and model of your vehicle. Or just bring in the burnt-out bulb and match it to a new one.
You'll access your headlight bulb through your engine compartment, rather than from the front of the car. Open the car's bonnet (or hood for some of you) and locate the headlight near the front of the vehicle. It will be in a bulb holder, with a power connector (usually three wires) leading to the bulb.
The power wires are attached to a plug at the base of the headlight, and held by a plastic catch, a metal clip or a screw cap, depending on your vehicle. The plastic catch will have a small lever at the top -- push down on it while you pull the plug out. If you're dealing with a metal clip, pull it up and away, and be sure to hold onto it as you pull. If you're dealing with a screw cap, you can unscrew it by turning it counter-clockwise.
Once the wires have been disconnected, you should be able to remove the back of the headlight holder and remove the old bulb by holding onto the base. In some cases, you may have to rotate the bulb a bit to get it free. Have a firm but light grip; you do not want the glass to break!
Handle the new bulb with tissues or gloves - you don't want oils from your skin getting on it. You should also give it a good cleaning with an alcohol wipe before you install it. Once the bulb is ready, stick it into the base of the plug. If it's installed correctly, none of the bulb's rubber gasket will be showing. Once the bulb is in you can put the headlight holder back in place and plug the power wires back in. Make sure you test the bulb by turning on your headlights.
That's it! You're DONE!