Added aftermarket headlight (UFO) and taillight (Acerbis) to my husband's '99 250 MXC last year. I don't remember if there is a connector already or not, but there should be a pair of wires, yellow and brown, bundled under your gas tank-- these are the wires off your lighting coil.
A 12V voltage regulator is recommended. I believe Moose makes one, and so do some others. You can get by without the regulator, but your headlight will last a lot longer with it. We just added a regulator on to the MXC this year.
It's a pretty simple task to add lights. Just make sure you have some extra wire (to go to a taillight, if you want) and some fully insulated male/female quick-disconnect (.250" spade) terminals. It will make your life a lot easier.