i had the same problem, it blowed hot air all the time, even after i pulled the key out. It turned out to be the A/C controll failed. I had the a/c controll replaced and coded, it works fine now.

__________________
--2004 E53 X5 4.8is - ECE version; right hand drive; Located in Hong Kong; ext. black sapphire metallic; int. leather black; adaptive dynamic bi-xenon headlights; 16:9 onboard monitor w/o navigation; 20" genuine BMW Y-spoke 214 wheels with Bridgestone Dueler H/P Sport tires; Int. rear view mirror w/ compass.