I installed a set of factory foglights on my 2001 and it was very simple. Pretty much just bolting on the lights, plugging it in and snapping on the switch. The car is already pre-wired but on 2001 and later models, you have to get a software installed for the computer to know that the car has foglights. My dealer charged me $75 for the software installation.
The only problem I had with my foggies on my 2001 was that the manual stated one type of bulb and it was actually another. I think the manual said H3 and it was really H1's or was it the other way around.
Unfortunately, thanks to Volvo, the software is mandatory. The foglights will not work without it. Seems as though you have to get a software upload from the dealer whenever you add something electrical to the car i.e. factory cd changer.
I don't know if you can order off of their website but Auto Show Volvo (http://www.autoshowvolvo.com) has great prices for phone order customers. I got a cabin air filter for my 2001 S40 for $15 (msrp about $27) and an oil filter for $5, etc..