Based on the year of your car, you do not have as many cheap and easy options. You do not have the pre-wiring for the OE Aux, but you could retrofit it.

Option 1) upgrade your radio to a "new gen" radio with the aux input, and install the aux input adapter.

This would be moderately expensive just to get an aux input. But, it would also move you closer to making your car Sirius ready, and you could upgrade your CD changer to get full MP3 support.

Option 2) Get one of the generic aux inputs that replaces the BMW CD changer. This would be very inexpensive, but you would lose your CD changer.

I do not know of any options that would let you control a Zune from the BMW screen

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SOLD
2000 E38 750iL Highline Edition, Upgraded with the lastest 2006 X5 Electronics
MKIV Navigation, 16:9 Display, Bluetooth, TV/Video with Backup Camera, Sirius, and Aux Input