First remove the two bolts that hold the intake in place. Then move the intake off to the side. Then you have to pull back the rubber hood from the light. After that you use a pair of pliers to unhook a clip that holds the bulb in the mount.
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Here's where to get some bulbs: http://www.partsgeek.com/gbproducts/WC/17631-01002392.html?utm_source=google&utm_medium=ff&utm_term=1998-2002+Mazda+626+Headlight+Bulb+Sylvania+98-02+Mazda+Headlight+Bulb&utm_content=YN&utm_campaign=PartsGeek+Google+Base
First remove the two bolts that hold the intake in place. Then move the intake off to the side. Then you have to pull back the rubber hood from the light. After that you use a pair of pliers to unhook a clip that holds the bulb in the mount.