Does the car roll backwards like the gears don't engage? If so, look at the front axle spline.

Otherwise, I would look at a frozen accessory that is making the belt screech as it gets dragged across (alternator, AC compressor, belt tensioner, etc)

Blown trannies tend to be quiet in Neutral. Guess it could be something really bad. Try turning AC off...

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