Its about a $2800 swap if you buy the parts yourself.
You need the Nav screen/monitor itself, the wire harness which needs to be run from the trunk, the board computer, the MK4 dvd module, and a few other things which I'm forgetting.
The following is from Bimmernav.com:
BMW Original MKIV navigation computer Refurbished
BMW Original Widescreen Display Refurbished
BMW Original BM53 Radio - LATEST 2006 North American version! NEW-with optional upgrade to European BM54 radio radio for Euro Customers
BMW Retrofit Wiring harness and complete brackets, GPS antenna and trim pieces to convert from no navigation to navigation equipped.
If your BMW was built prior to 09/01 you will need a set of adapter cables that can be purchased from your BMW dealer for approx $125.00 USD
Convert Currency.
BMW X5 2000-2006 E53 BMW COMPLETE X5 Navigation Retrofit Kit
You'll need Map dvd too