There is a filter(screen) inside the power steering reservoir. You can't remove it or clean it, as it is installed when the reservoir was assembled. To replace it, you need to buy a new reservoir. None of the posters above using the 'turkey baster' method of changing a portion of the fluid are changing the filter, as the two processes are different; if you were changing the reservoir, you wouldn't use a turkey baster to avoid draining the system.

I think it would be reasonable to change the filter (and reservoir) around 100,000 miles, but it is a judgement call. Here is what it looks like, photo copied from another board.

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2007 X3 3.0si, 6 MT, Premium, White

Retired:
2008 535i, 6 MT, M Sport, Premium, Space Grey
2003 X5 3.0 Steptronic, Premium, Titanium Silver
2002 325xi 5 MT, Steel Grey
2004 Z4 3.0 Premium, Sport, SMG, Maldives Blue