I just got an 03 X5 with nav and thought I had a similar problem at first. I was amazed to find that BMW doesnt use a touch screen like I had in my 03 Lincoln LS. Anyway, how are you clicking accept? You have to push in on the right dial to "click" accept. Is that what you are trying and isn't working?

Mine didnt come with the Nav DVD either. I just went back to the dealer today and they gave me one.

and since we're on the topic, I'm also surprised with the low quality voice instruction. It sounds as though the nav system is using a text to speach synthisizer to give verbal instructions. The voice in my Lincoln LS sounded much better, no weird robot sounding elements to the pronounciation, etc. Now I wish I had chosen the other X5 on the lot with Xenon over the nav. Oh well, live and learn.