I just the other day noticed that mine was not lit, but the other knobs were. I tapped with my knuckles around the knob, and it came on. (cabpatch)
If you did need to replace the bulb, basically you would follow the instructions to installing a stereo, but instead of removing the stereo head unit, you would be removing the HVAC controls.
I agree with 5zoom, if it is covered under warranty, let the dealer worry about it.