Hi David,
It;s been a while since I've done this on this car but if my memory serves e properly:
Start here:
There are 2 (maybe 3) small screws you need to remove, one on the top and one on the bottom of the light. You need a screwdriver with a long shaft to get them out.
Once you've removed the screws, remove the plastic orange light cover.
Once you've removed the cover, find the bulb with 2 filiments, gently rotate it about 90 degrees and pull it out. Insert your new bulb with the same process. Test it, if all looks good then put everything back together.
If you can't see the screws in the front turn signal you may need to remove the front grill from the side with the bad bulb: There are 3 or so small screws on the bottom and top of the grlll that need to be removed, then gently pull out the grill and you should have access to the screws in the housing. Let me know if this works, it's been about 20 years since I've done this.
Here is an exploded view of the light housing:
http://www.bmwbuddy.com/prodimg.php?src=http://parts.bmwofsouthatlanta.com/images/parts/bmw/fullsize/8365.jpg&h=200&partnum=63131360093
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