The proceedure is in the Owner's manual that you get with they car but I will do my best to answer from memory.
To change the left (driver's side) headlights you need to remove the battery cover. Disconnect the hose that runs along the left hand side of the cover by gently lifting it up out of the clips and move it out of the way. There are 2 fasteners that secure the battery cover. Rotate each one of these a quarter-turn and then lift straight up on the cover.
Be sure you know which headlight you need to change. Low beams are on the ones on the outside, towards the sides of the car. High beams are on the inside toward the radiator.
Remove the dust cap over the headlight you want to change. The caps simply pull off, dont try to rotate them or anything. Once you have the dust caps off you rotate the lights counter-clockwise to get them out of the sockets. You have very little room to work with when changing the bulbs.
The high beams have a metal clip or retaining ring in addition to the light socket. Don't take this off when you are trying to change the bulb. It is part of the socket assembly and needs to stay where it is.
Putting the high beams back in is much more difficult than the low beams becase you cannot see what you are doing. A mirror like this one will save you lots of frustration. http://www.sears.com/sr/javasr/product.do?BV_UseBVCookie=Yes&vertical=TOOL&pid=00941603000
[DIFFERENT ANSWER --- I HAVE A 2003 Saab 93 CONVERTIBLE and its owners manual and just changed the head lamp bulbs. No need to remove the battery cover, and you do twist the dust caps to get them off and lock them back on. Then you pull off the plug, and unlock a spring clip by pushing the top of it first forward, then to the side and it will fall down but the bottom stays in place so you can lift it back up after changing the bulb. The bulb comes out easily with no unscrewing - the spring clip holds it in place. Put the new bulb in middle prong up and re-clip, plug it in and put the cap back on.]