They have very high voltages and dangerous radiation lurking inside them. Casual tinkering can be dangerous so for safety reasons they make it difficult for the user to change the lamp.
You will need to make the machine safe by removing all power and take the outside cover off. I am not a microwave expert but beware any large capacitors that my be inside - these things can deliver a powerful shock even with the power disconnected.
Other alternatives are to have an expert do the job - buy a new machine or cook in the dark.
Good luck - stay safe.
Peccavi
July 2011
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