You'll need to remove the center console to access the gear shift indicator bulb.
Here is the link for the shift microswitch repair, but the beginning gives you the step-by-step instructions for removing the center console: http://volvospeed.com/Repair/Microswitch.php
Sometimes, the bulb falls out of the holder, so after you remove the center console, check to see if a bulb is present and if it's still working but not in it's mounting point.
The replacement bulb/holder number is 1363149-4 as Lee stated and you can only get it from Volvo dealerships or Volvo parts distributors (FCP, eEuroparts, iPd...). You can't find it at any of the car parts stores.
The same bulb is used for the shifter, cigarette lighter illumination ring and inside your armrest compartment. If you think you don't need the armrest and cigarette lighter lit, you can just swap one of the bulbs if it's still good.
VADIS is a diagnostic, parts and troubleshooting database for Volvos that comes on DVD. You can probably order one on eBay.