The most amazing thing to me is that in freakin 2006 BMW has not yet realized that cassette tapes are completely obsolete! They might as well put in the good 'ol 8-track player in the dash and a phonograph in the back! Sure they can revolutionize engine management with variable valve lift and quad cam timing control, add x-drive etc... but they have a tape deck! Mind you a tape deck run on a highly advanced fiber optic bus communication system, but a tape deck none the less.
And if the X was spec'ed with a cd player but doesn't have one... bring it to where you just bought it and tell them you bought it under the impression it had a player, and ask if they are willing to help you out... can't hurt. Just be nice about it, people are more willing to help.