The reason this isn't working for you is the AUX only works with 2003 and newer radio modules. If you look at the first page on this document -
http://www.bmwmotorsports.org/pdf/E3...nstallInst.pdf - it says that this kit is for X5's from 10/02 production and beyond, which is the 2003 model year.
Sorry to be the bearer of bad news.
:xoutpost:
p.s. you can install a radio module from a 2003 or newer and this will allow you to have AUX. That's what I did on my 2001 X5 and it works great.