There are two small bolts on the sensor. Referring to the picture on page 1 of this thread you will see the brass eyelets that the bolts go through.

After removing them you will be able to simply pull the sensor out of the cylinder head. It is a snug fit but should come out with a little wiggling.

I would NOT buy an aftermarket sensor. Both myself and many other people have had issues with them. I tried aftermarket before I went with dealership and the aftermarket sensor did not function right fresh out of the box. I had to tear my engine apart all over again to put an OEM one in and return the cheap knock-off.

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2007 E70 X5 4.8i Sport Package
8x,xxx Miles
"My Precious" (Smeagol voice)