All North American BMW X5s are pre-wired for the CD changer. Depending on whether you have DSP or Non-DSP you may have 3pin and 6pin or 3pin and coaxial.
If you have DSP and find the 3pin and can't find the coaxial and have no CD changer then you probably won't have the coaxial installed. You can buy the cable from BMW or when you buy a DSP Adapter it will come with a new cable.
Let me know if you guys have any other questions. Here are some install guides you can browse to find the connections:
DSP:
http://www.bavariansoundwerks.com/pr...3_With_DSP.pdf
Non-DSP:
http://www.bavariansoundwerks.com/pr...53_Non_DSP.pdf