Asem,
Welcome and I know what you mean my 2006 came with same sound setup (premium,dsp) and no CD changer. You have to wonder what BMW is thinking, we're going to use to DSP to listen to radio!
Anyway before you put in a CD changer you might consider an iPod hook up (a lot more music than changer can hold), you can get an Ipod cheap these days and the folks over at EAS (
http://www.europeanautosource.com/) have all the stuff you need to integrate the iPod into the sound system.
Cheers