They're mounted under the outside mirrors (look up underneath yours and you'll see plugs that can be removed for these lights.) Alas, only found on the European version, and maybe the Japanese. I believe they activate with your remote control or when you open the doors.
Owner since 7/17/03: Velocity Red GT, 6MT, black/red leather, navigation, rotary accents, 6-disc CD. Sold the spare kit.