oooooooohhhhh man.....it is such a pain in the ass....it is "supposed" to be changed every 10K miles...but most people's have never been changed unless they did it themselves, or paid for a full inspection II at BMW...and even then I wouldn't be surprised if they skipped it...
It is on the passenger side of the car....underneath the center dash...nevermind...here is a DIY....
http://www.koalamotorsport.com/tech/...icrofilter.htm
This is the best way because it does NOT require removing the glove box...you'll be surprised how nasty the thing is...
A new one costs like $30 at bavauto