I got the bulb warning the other day - was driving me nuts. Couldn't find any exterior lights out.
Found a web site that explained to hold in the stalk button when you are in the check control menu on the warning, to get the CCID number. Also had a link to a web page that had every CCID code and it's specific meaning (not just bulbs, but all of the warnings). I'd share the link but am traveling and it's in my favs on my home PC.
But I'm sure a google search would turn it up.
In my case, it correctly told me that the code was for a bad "license number" light. Sure enough, one of the plate lamps was burned out.