http://www.Xoutpost.com/bmw-sav-forums/x5-e53-forum/8228-replacement-air-filter-3-0-diesel-new-post.html
this is one link and i am sure there are others, been told it is is a nightmare to change, stupid bmw why couldn't they make it easier?
let us know how you get on, the rear two screw of the engine cover do not come out, loosen them enough and then gently pull engine cover towards you