If you look at your headlights from the front, the cornering lights are actually located inside the circle housing that is closest to the kidney grills, yet they are still called corning light. If you look at the fourth picture in this post, you'll see this blueish bulb inside the housing closest the kidney grill--this is the corning light.
The corning light ONLY comes on if your headlamp switch is set to Auto. They turn on gradually by dimming on when you rotate your steering wheel by about 90 degrees. When you rotate back to default position, they slowly dim. I find that the GP Thunder corning lights are too blue for me and too dim. I'm probably going to put the stock corning lights back in this weekend.