BMW makes a simple 3.5mm headphone jack connection with the other end of the wire physically connecting to the back of your cd player, where a cd changer wire WOULD go if you had one, but since you don't, then bonus. I bought mine off e-bay for about $45. just do a search for BMW Auxilary Audio Input Cable.

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I swear, my cars are like a girlfriend.
Sometimes its a rough ride, sometimes its smooth motorin'.
Sometimes she doesnt like how i treat her and sometimes i dont like how she behaves.
BUT at the end of the day, she loves it when I am inside her.

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'91 850i
'05 X5 4.4i
'09 Clubman S