I had the same issue with my S2K, one of the HID's went pink.. a few days later it went purple.. then died... so i'd agree with sixspeed give it a few days and it will be dead.
Renault wouldn't cover the xenons on my Clio when one failed after 2.5 years and still well within warranty. Yes I'd expect better from BMW but wouldn't hold my breath either. For the sake of £55 for new bulbs is it worth the hassle...
That is an old fashioned approach by the manufacturer that bulbs / wiper blades and other consumables are not included. I don't class a Xenon bulb a consumable though if it fails well within the normal expected life time.
OK - you have PM on what to do and how to remove, refit bulbs, etc.
Standard xenon is 4500 which is the temp that gives the most useful light output. 6000 takes you to whiter with blue tint. Possibly better style but a drop in useable light output (and more chavvy)
Ali, I'm not sure where you are in Aberdeen but if your bulbs haven't arrived and you need some I have a couple of 6k D2S sitting about. I'm in BoD if you need them but looking out the window I don't imagine you will be using the Z any time soon!