There is a bulb inside the switch (albeit a very small one).
I'm not quite certain on your model, but on mine, you can tug on the headlight switch enough to pull it completely off. The switch is held on by a large nut. Remove it, and then you can gently pull the trim plate off as well. Then you can twist the headlight switch housing clockwise and remove it from the dash panel. The bulb housing pulls out from the back.
2009 ML350 (84K) - Family vehicle
2001 CLK430 Cabriolet (71K) - Wife's car
2005 BMW 645CI (124K) - My daily driver
2012 Mustang V6 (60K) - Daughter's car