I have a 1997 A4, and a couple of the dash lights were out, so I went to the dealer and bought some bulbs, WITH the socket. It's really important you get the ones with the socket, because you can't just replace the bulb. [At least I couldn't figure out how to do it]
Anyways, you'll need
torx screw driver [T20]
DISCLAIMER : My Audi is a B5 and is one of the pre-face lift models. If you have a later B5 your dash won't look like mine, and this instructable is less likely to help you, however, it is probably more or less the same, so give it a shot! Worst case you simply put your dash back in.
Step 1: Taking Wheel Cover Off
Pull your lever under you wheel down so you can pull the wheel towards you and down. There's a little plastic piece you can just pull up and off, then pull back the wheel cover. You'll expose 2 screws. Use your torx screw driver to get them out.