Thanks again Tony.
Funny story, 'cause last time when I changed the first one, I didn't unplug the cover completely to look in there. So this time I unplug the cover and put it aside. I started looking in there to see if I could find the second one. My cousin comes around is asking me why is one of the filters old and the other is new? I look at the cover now upside down and I see the second filter, placed right next to the first one, on the same cover. I was laughing, and embarrassed at the same time, since it was right there. Problem is, the graphics (on RealOEM.com * BMW E70 X5 3.0si Microfilter/housing parts) provided by BMW don't show two filters side by side. They just show one.

Here's a picture of it:
Imageshack - img20120701191012.jpg