you do not need to take off the bumper for this.
there are 3 screws on the bottom plastic that you need to remove, then you can get to the fog light bracket. i had to use a lot of pb blaster to get the rusty nut to move here, that is why it is all orangy-brown there.
that is the only nut/bolt you need to deal with to remove the fog light. the bracket has 3 bolts, but that stays on. the fog is only on with one bolt to the bracket.
now, dont just pull, you have to unclip the wires first.
the little blue thing is how the wires are clipped and tucked up behind the bulb. you can use a screwdriver to push this in. then from behind, unclip and you are set to remove the fog light assembly.
once it is out, you have 2 screws to deal with. they are on the back here.
these are the soft brass screws. every fog light i have touched, at least one of these screws brakes off the head and you need to drill it out. be careful, but that wont matter. once you get the screws out, you may have some time getting the 2 halves apart. it takes a bit of wiggling, especially if they have never been replaced before.
now, it is pretty straight forward on replacing the bulb.
hope this helps.
also, im sure this info is in the how to section.
go here for steaths quick links for lots of info on fixing your p5!
http://www.mazdas247.com/forum/showthread.php?t=123715657