I replaced mine a few weeks ago. It's actually a lot easier then I thought. It's in a tight spot though.
I got the part from AutoZone, ~$20. The part name is Blower Resistor.
It's located on the passanger side under the glove box. You have to remove the black plate that covers the stuff underneith. There are 5 screws ((I think)) you have to take out, and it should come off. Once you get under there, you'll see a small black box cliped to and screwed in. You have to remove the screws and carefully move the box out of the way to get in there. Once you move it to the right out of the way, you'll see the blower motor. I didn't have to remove mine, but some people do for room to work. If you decide to remove that, the resistor is behind that sticking into the firewall. You have to remove the wire harness on the end of the resistor. There is a clip on each side holding it on, be careful not to break it off while removing. After the wire harness is removed, There are 2 screws holding the resistor in (one on each end). You need a really small (1/4"?) socket set to get in there. Once you remove the screws of the resistor, it'll slide right out of the firewall. Take the new resistor, and slide it in the old hole, and replace the screws. Once the screws are in place, replace the wire harness, and you should be done! Remember to bolt the blower back (if you chose to remove it, I didn't when i did it.) And replace the black box in it's right place, without damageing the wires...VERY important.
Also note that the resistor you pull out of the car, and the one you got at the store will look different. The one from the store has a black handel (where the wire harness clips in) and has a green microchip thing on the end (that part slides into the firewall) The factory resistor is black on the end too, but the chip is more of a gray color, and isn't as long as the new one. Don't worry about the size, it still fits in perfect.
Hope this helps! It's a little harder then it seems because of the space issues, but it's better then paying 2 hours labor at dealer. Good luck!
Mike