It is located in the glovebox.
The thing behind the CD changer compartment in a 1997 BMW 528i is called a jack.
On the back of the housing
The cost of installing a CD changer in a BMW will be the cost of hourly labor multiplied by the number of hours as defined by the installer which typically turns out to $200. One may save money by installing the changer themselves.
If your x5 is equipped with a CD changer, it will be located behind the driver's side panel in the very back. This is not standard equipment, however.
You have submitted a statement, not a question.
There are many different revisions but as long as the connectors fit it will work. Some of the newer revisions support playing MP3 CD. If you have the VIN of the car you can check what an exact replacement part would be at http://www.realoem.com This is the newer changer that supports MP3: http://www.bimmernav.com/store/catalog/bmw-oem-cd-changer-plays-mp3s-and-cds-latest-version-mfg-2007-item-87.html
In the trunk on the passenger side behind the panel for the CD changer.
P/N: 65126908950realoem.com
A 2005 Mustang should fit any CD changer you want, but may require some equipment to make it fit properly.
The 2005 BMW X5 has a drag coefficient of .35 Cd.
The 2005 BMW Z4 has a drag coefficient of .35 Cd.
The 2005 BMW X3 has a drag coefficient of .35 Cd.