Xenon headlights are just a different type of headlight. They are particularly bright giving the driver excellent night visibility. If you’ve seen a car at night & it’s headlights seem to have a blue tinge, then you’ve seen Xenon headlights in action.
Assuming your car is a Mercedes, I would strongly advise against retrofitting them. Firstly the physical size & shape of the light unit is different to the one you’ll be removing. Secondly the wiring loom for Xenon lights is different to what is pre-wired into a Mercedes that’s not factory fitted with Xenon’s. Thirdly, Mercedes xenon lights are fitted with self-levelling motors to reduce dazzling oncoming drivers. Without the correct ‘Star’ diagnostic machine you will not be able to set the motors correctly, so will dazzle other drivers, right up to the point you get pulled over by the Police. Fourthly, if you do the job correctly, the cost will be prohibitive.
Incidently, if you’re thinking of fitting them to a non-Mercedes, then you’ve got all the above issues plus about a hondred other one’s to consider.