Pop the hood and reach in (engine off!) behind the light. You will find an oval shaped, dark grey cover. This cover can be removed, it has a small gasket that surrounds it, be careful to keep it in place or at least be able to replace it in it's position. Then look into the chamber that you have opened (I swear that you will not do this just by feel alone), in this chamber you will find the back of the filament element (the only part that you change and the only part you will find in a parts store), this element has wire clips on top and bottom of it, you must unclip them and swing them free to make room to extract the filament. Then pull firmly but gently on the filament, notice how it pops into place. Replace with new one, reclip the clips, replace oval cover.
Bring it to the dealer!
You actually only change the bulb. They are held in harnesses inside the hood, just behind the actual headlights. Once you start tinkering with it, you can see how it works. It's easy to change the bulbs in a C-Class Mercedes.
Acquire a new headlight. Take old headlight out. Place new headlight in. Voila
Mercedes-Benz A-Class was created in 1997.
Mercedes-Benz
Remove the wiring harness from the back of your 2007 Mercedes-Benz headlight. Remove the headlight retaining bolts. The headlight will come out. Reverse the process to install your new headlight.
Mercedes-Benz M-Class was created in 1997.
Mercedes-Benz CL-Class was created in 1998.
Mercedes-Benz GLK-Class was created in 2008.
Mercedes-Benz E-Class was created in 1995.
Mercedes-Benz CLK-Class was created in 1996.
Mercedes-Benz C-Class was created in 1993.