Yes, the HID headlights do auto-adjust, but they must still be calibrated. The system knows how much to adjust the headlights, but they can't calibrate themselves the first time. If a headlights is replaced, it will likely need adjustment.
There there should be small adjustments knobs on each headlamp. Shine the headlights on a level surface (a brick wall can serve as a great alignment grid) and use your're old headlamp as a guide. From there you can make small adjustments.
Even just standing 20' or more away from your vehicle will help give you a good idea of alignment and see if either one is blinding oncoming traffic. They tend to aim the drivers side headlight (the one more likely to shine on oncoming traffic) down a bit more than the other.