If the window is stuck up, you can also try to unbolt the two plastic clips that hold it to the regulator - it is possible it has jumped/broken one and that is why the window is jammed. There are several threads here on replacing those clips. The plastic clips use a weird custom nut and bolt, so if those are missing, get new ones from the dealer.

BTW, have to second the warning about not letting the window drop - a few pieces of 2" masking tape (from one side of the glass, over the top of the frame, onto the other side of the glass) will hold the window up while you tinker with the motor. Make sure it is well stuck, as cold weather reduces the stickiness. Or a piece of wood under the window or some rolled up blankets also helps prevent you from breaking the window or smashing a finger once it is released.

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David.X5
2001 X5 4.4i Sport
SOLD! at 160k miles