I had this in my E46 like many others. I hope the new 2006 X3 has been fixed... This is what I did on my E46. My dealer changed the door seals after new ones were released by BMW. They also adjusted the doors but since the squeek seems to come as a result of seal design on top of the door frame and material used that really did not do anything. Also weather conditions have something to do with it. If the windows are opened 1 mm then the squeek will go away...
I got mine resolved for many many months (and still quiet) by applying BMW Gummi Pflege on or actually 'between' front door seals where there is rubber against rubber. I don't know how to explain this... If you open the door and look at the top of the door, there is one seal (the round one) that sqeezes when door is closed and then there is the one that goes on top of the window frame. Where those meet you can actually try to pull them lightly apart and push your finger in between and see that they touch each other and sqeeze against each other when door is closed.

That's where I put the stuff. I did not treat the round seal on the body of the car.
That Gummi Pflege cleans the rubber and leaves some kind of a surface on the rubber. It comes as spray and grease. I can't remember where I got part number 82 149 407 015 for this stuff but now that I look for the grease in ETK I only find parts 82 149 400 195 and 83 120 301 480. It lasts a lot longer than teflon based products and I would recommend not to use silicon based sprays.
Anyone else has experience with this treatment?
- p