Yep, Mars Performance fog lights on ebay are the right ones, all you need after that is the pair of shrouds as the ones in the kit are for the sedan.
I didn't actually use the instruction book, though I do thank the rez and ken33f who sent it to me

. I found it overly difficult to be honest

Jack your car up, I put it on a hoist, but same deal. Underneath the front, on each side there is a cover held in with a set of 10mm bolts that you have to remove. One or two actually have a screwdriver fitting and are a little longer, so don't misplace them. Also there is a plastic clip you need to remove - I found it easy to do so with 2 flat screwdrivers. This is on each side, directly under the shroud.
So, remove this cover.
Behind the stock shroud is a little phillips head screw. You'll need a stubby screwdriver to get to this one - or else remove the plastic wheel arch.
Once you've taken out that screw (on each side), use a bit of force and some directed pulling and pushing to get the shroud out. For the clips that don't let go, you can push them down from the inside now that you have removed the cover.
The mars lights screw into your new shrouds (which are $84 each from Toyota btw) with three of the 8 supplied screws in the kit.
You'll notice that the lights don't sit flush with the inside of the shroud - this is normal (at least on John's "Auris" and my uncle's Aurion) and must be to allow a little more air flow. These lights get daaaaaamn hot. Like a serious skin burn hot!.
The plugs to go into the lights are already in the position, you just need to untape them from the inside of the bumper and plug them in.
Put the cover back up and screw it back in. You're done with the front.
Now the tricky part...
And here's where I paid $70 to get it done properly.
If you want to do it yourself, you need a relay. I've forgotten the part number - I got it from somewhere on here - hopefully someone can help

Work out which plugs on the relay run to a switch, and splice the wires from there and run it over to where the switch will go - near the mirror controls.
Solder it all up and you're done.
The official book says to splice wires that go up into the steering column. I saw the bunch of wires there and immediately gave up. Waaay to hard

.
Also, you can skip the whole splicing thing and go with plug and play if you buy the official stalk from Toyota / A wrecker. I got quoted from Toyota near $180 and a wrecker $150.
Then just follow the instructions in the DIY section on how to remove a yaris' steering wheel - but apply them to your zre!
Click to view attachmentOh, and btw, I've ordered whiter headlights to match the fog lights