I strongly recommend you read this thread:
http://www.sau.com.au/forums/topic/93963-xenon-hid-lights-conversion-for-r32/
If you're planning on throwing some cheap 6000+ Kelvin HID kit into your standard headlights, you're going to have a bad time.
Been there done that. To answer your question, you buy the bulb for the housing, e.g. if your headlights take H3C, then you buy H3.
Wiring wise it's pretty easy. Use a multimeter/test light if you must to figure out which bit on H4 plug is low and high (or can Google/Bing it).
Rip out all the old stuff and go from there.