usually the bulb is set inside a big sort of plastic ring that holds it in place. you'll probably need to twist the ring to release it. if you can see the other side's headlight better, you can get a look before you try the real one.
Sometimes these things take a strong arm to get it to come off. if you play a lot of halo, you may not be strong enough to do this.

Seriously though, you may have to turn pretty hard, but try to get a good look at it first, because it will probably say on it what you are supposed to do to get it off. Then you just pull the old bulb out and carefully place the new bulb in. But do NOT touch the new bulb with your bare fingers as the oil from your skin can make the bulb shatter when you turn it on (because it heats up so quickly).