Okay, this is gonna be a noob question, but where is it and what does that part do ?

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2006 BMW X3 3.0i
Alpine White/Black Leather/Aluminum Trim/Premium/Sport/Cold/NAV/Xenon/Panorama/Steptronic/Servotronic/DSP/Privacy Glass/Rear Airbags/Alarm/Blah/Blah/Blah