Remove the vent cover on the B Pillar. Under there are 2 screws you need to remove. Then you can pull the cover off. But I recommend buying some spare clips first.

There's procedure somewhere, but I can't find it right now. Keep digging through the website here:

BMW Workshop Manuals > X Series E70 X5 3.0d (M57T2) OFFRD > 2 Repair Instructions > 64 Heating And Air Conditioning > 22 Nozzles And Outlets > 1 RA Removing And Installing_replacing Left Or Right B-pillar Air Vent