The bulbs are behind the trim... and its a bit of a task to get to them.
First, the small compartment at the top of the dash center (where they mount the phone pad if you have one) has to be removed.
Then, remove the entire center vent.
Don't recall at the moment whether or not the glove box lock needs to be removed, but may have too... I know I had mine out.
Once the vent is out, you'll have to find the hidden screw for the wood trim with the wheels... follow the trim across the dash to the right until is turns into the dash right beside the glove box door... there's a plastic cover piece that need to come off exposing the screw. Remove the screw and gently pry the trim piece out.
Hope this helps.

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KenP

1996 S500 W140 Coupe