Is there any sign of power to the unit? Check the fuse but you may need to get it repaired. Google BMW CD player repair or look for a replacement on e-bay.

To remove, you first take out the MID (the display under the CD player) and then there are 2 torx screws at the bottom of the player. Google that, too (the E39 5 series is similar):

How to remove Radio - BMW X5 (e53) 1999 - 2006 or BMW 5 series (e39) - YouTube
How to remove BMW Business CD radio unit - YouTube