Is it possible to change the Bi- Xenon headlights on a 2003 9-3 without going to the dealer?

Its very possible.... first you disconnect the negative pole on the car battery.. then let it stand for about 20min, so any remaining current is faded. Then you open the backpanels of the headlights and take out the lights ... be aware that you have to be realy gentele when replacing the xenon light, cause its very fragile.. sizes on the lamp varies so , you can identify the watt's on the bulb its self. Same with foglights.. just take it out and read the watts ;)

What about the headlight assembly? I am trying to change the passenger headlight itself but I cant find the xenon headlight anywhere. Can I modify a halogen headlight for use with xenon bulb system?

yes, you just buy an aftermarket installation kit :) You keep the headlight it self, and replaces the bulp board and the relees :)

You can't modify a halogen headlight to use a xenon lamp!!! Unless you go down the after-market route but then you'll have to do both and you'll be constantly dazzling oncoming drivers, its a big job and you may find they are actually illegal. Not recommended. Instead go to a scrap dealer and get a second-hand unit, unless you can afford the £600 ($400) for a unit from a dealer. I recently changed my b-xenon and cost £164 ($120) for a second-hand unit (including all bulbs). If you just need a new xenon tube they cost about £60 ($40).