Be sure to read all of the site Robb has referred to. I recently replaced both bulbs on my left and right CC switches. They can be purchased separately...don't buy a whole new switch! They're little tiny things and they mount to the printed circuit board under the CC switch cover. Be careful prying the rubberized cover off...proceed patiently or else you run the risk of breaking off the flimsy plastic clips that hold the circuit board to the switch housing.
Above all, disconnect your neg batt cable before pulling the airbag/horn module. Serious injury or death if the bag deploys while you're sitting behind the wheel fiddling around with the wheel bolts, etc.