That tells me that you likely don't have it. DSP stand for Digital Signal Processor, and it was the optional high-end audio system for BMW in that era.
In the US, BMW pre-wired all vehicles for a CD changer. I'm not sure that is the case for the European market, so it is possible that your vehicle isn't pre-wired. If it is pre-wired then you should find a 3-pin connector and 6 pin connector somewhere back in the electronics bay. They are sometimes tucked away, so you really have to take the time to search for it.
