omg that car. I remember seeing that. If someone ever backs into either of his bumpers that's going to be a ton of work to fix (everything is molded).
A few people on here have done swaps at meets and such, but could I ask why you are asking? If it is because you want the black look of sedan lights instead of the chrome P5 lights, look at the pic in my signature. It's not too difficult to paint the inside of the P5 lights any color you want, you just take the headlights out and heat them up (in an oven). Then you can pull them apart and paint away.
The Protege5 headlights have much better light output so of course I'd advise anyone to stick with them. The wiring to do sedan lights wouldn't be too bad, you'd just probably need to order a couple plugs from the dealership or a parts store and swap a few wires around.