I'm new here, and I've been through this entire thread and I didn't see this one, and just learned it myself.

I have a 2006 X5 with the business CD. (also an icelink for the CD changer).

If you are using the business CD (not the changer), and using an MP3 CD (burned from iTunes, where each album is in it's own folder), pressing M and Next track skips to the next album/folder.