You did not say what vehicle. If yours is anything like my '98 Limited, it's
straighforward, but a a pain in the neck. Here is what I  just did:
Remove the hood release lever (held by two screws)
Remove the large plastic panel below the steering wheel (held by a few
screws and some push-pins)
Remove the safety steel panel behind it (more screws)
Tilt the steering wheel all the way down, then remove the tilt lever. It's
threaded and held tight with RTV. There are notches on its shaft for a
wrench (5mm, I believe)
Remove the steering wheel shroud (two sections, held together by 3 phillips
screws). The upper one is a bit tricky. Easy does it.
Remove the two screws and slide the center console (the one holding the
radio and A/C control) out just an inch or two
Now you have access to the large panel which holds the light switch. Remove
the screws (two or three above the instrument panel and (if memory serves) a
couple at the bottom. Gently pry it out, flip around, and you will have
access to the switch. There is just a single lamp, held by a bayonet mount.
It plugs into the rear of the switch and is theoretically accessible without
removing it, but I found it a lot easier to do if you take off the single
phillips screw and pull the switch out.
Ford charges about $10 for the lamp. It consists of a tiny bulb, with a
green plastic cap, mounted on top of a long plastic shaft. Rumor has it that
the bulb itself is available for one tenth the cost at Radio Shack. If you
can save the cap (or improvise one), it sounds like a good way around Ford's
extortion prices. Somebody posted the RS part number here a while ago - use
Google to find it.

Be gentle and patient when reinstalling everything. Good Luck!

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