I am in the process of doing this myself on my E39, and will be doing it on the X. Your cable must have come with instructions. I have not seen that cable/connector in any of the tutorials I have watched or read. You may have the wrong one. And, be prepared to do lots of reading on which CD player to use. It isn't based on just they year of the car. Lots of cars have had units installed that were older. I would suggest you post a picture of the info tag on your CD player and let's see that. But, you can do a lot of the work and research on your own via other sites. Bimmerforums and the E39 section is really helpful

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Dave S.
Northeast
2003 4.6is
2005 E53 4.4
2003 E39 Msport(a REAL ONE!)
1959 Fiat 600