It'll be a small bulb that goes in the back of the heater control assembly. You may wish to go to your dealer and pick one up or order it ahead of time so you're sure you'll have the right part once you get things apart.
I couldn't find instructions for the hvac controls in web tech either. Hyundai is very poor in this aspect of the service manuals. They typically include few details on removal and installation. The closest I could find was the radio r&i instructions. Those will be in "SHOP" in the body electrical - audio & antenna section. Once you get it apart, instead of removing the radio, remove the heater controls (if they're not attached to the trim, which I can't remember).
You just need to remove the center trim from the dash. On your model year vehicle, I believe you'll need to pull the switch plate off the top of the console (just clips on) and remove the two screws holding the console top trim and remove the trim. I believe there are then two screws at the bottom of the dash trim to be removed, and the trim then snaps out. If the heater controls are attached to the dash trim, you'll need to pull any cables off the heater box or fresh air box.