I just got my Beemer recently and I am trying to find where and how to replace the pollen filter. I have the part, and my local dealer told me it is fitted under the steering wheel, but I can't see it.
When in the normal mode, outside air goes through the microfilter and then into the cabin.
When in recirculation mode, the outside air vent is shut, and the cabin air is recirculated. Recirculation filter is used to filter any contaminant already in the cabin air when it goes through the HVAC. Without recirculation filter, the air will be only as filthy as the air in the cabin. If you smoke, for example, and put HVAC in recirculation mode, the recirc filter should clean up the air a bit. Don't do that though because the smoke smell will be trapped in your recirc filter and your entire car may stink after a while.
Go to e38.org (complete procedues for changing recirculation/pollen filters