To be a little more clear, it wasn't the headlight assembly, just the bulbs. They weren't cheap, best they had where I bought them. I don't have a voltmeter but I could probably get one, but I wouldn't know where to test anyway. I checked the fuses again, not sure which ones to look for, thinking either headlight or ignition/starter-related fuses. When I was in the cabin fuse box today it made some weird alarm and I think the check engine light came on, possibly at the same time. Not sure if this is a theft deterrent or some other alarm but I had never head it before. I went to buy an ODB-II sensor(I've wanted one for a while anyway), but they didn't carry any. I live in Germany so I can't just run to autozone.
A friend said that the whining sound could be the alternator but it seems odd that it would go the same time as when I'm doing a bulb change. Any other ideas? I really don't want to spend 300 euro to have this thing towed to a shop.