You'll need to unscrew the dome from the bracket holding it down and unscrew the little screws along it's sides. That should uncover the compressor when you flip the dome. Look for an orange relay (orange most of the time and in some light green) It should be in the dome next to the compressor.

You might want to check the relay #6 which is the last relay in the luggage compartment:
RealOEM.com * BMW E53 X5 4.4i Relay positioning, luggage compartment

and check the last fuse in that compartment as well.