I got a rebuilt Bosch on eBay for 250 over a year ago, going strong.

I don't know why people are giving you a hard time. Its a pretty big job for a first time DIY, and shorting out the battery cables (for example) can do really bad things to you and the engine electronics.

How did you get to decide you need a new voltage regulator? If you describe the symptoms, folks might be able to help you diagnose it if that wasn't done professionally. In the US, many local auto parts stores will also test alternators for free if you carry it in, with the hope of selling you something...

Try to find the Bentley manual for your car if you can - some libraries might have it if you don't want to buy one now.

In the future, include the build date (month/year) and engine size. I see you wrote it is a 2005 4.4L, so I looked up the parts for you to start:

Part numbers are the same for January 2005 to December 2005:
air-cooled alternator, 170Amp output
voltage regulator (OEM is Valeo brand, rated to 180A): 12318510090
alternator: 12317540994

Here is one example of where to buy the whole alternator - not much more expensive than the voltage regulator:

180 AMP VALEO ALTERNATOR FOR 2005 2006 BMW X5 4.4L AND 2004 2005 2006 BMW X5 4.8L (TG17C027, TG17C027B) - VALEO REBUILT ALTERNATOR

Thank you all for the replies. I was never into mechanics but i like to think that people can do whatever they set their minds to do. I asked that question if it's water cooled because i saw some dyi's for water cooled ones and i wasn't sure but anyway i guess if it's air cooled it's a bit easier to remove.
I know for sure i need to replace the VR because the voltage goes crazy every time i start the car, it gives me the trans failsafe progr error, i got the infamous trifecta lit up on my dash and so on. My x5 is 01/2005. I am gonna start working on it in my next days off and get back with an update, hopefully it'll fix my problem. Thank you all

If you go rebuilt get one with a new regulator
 

I have been down this road. Voltage spikes trifecta lights etc. I installed rebuilt 8 months ago was fine and just did it again because voltage spikes started again
On ebay their are new regulators, rebuilds with new regulators and new alternators at good prices. Lesson learned do a rebuilt with a new regulator I did not and had to do the job again

skrewcop, jdstrickland raises a good question after the snark :): why do you think its the voltage regulator? Especially if yours still mounts its original alternator, since you have to get in there anyway, you might want to replace the alt and VR at the same time [price spread isn't great, at least on the M54s], and check the belts carefully while you are at it. Read the part no. on the current alt, that will tell you whether its the original or a replacement ramanufactured version, the part to order, and whether its air or water cooled. I don't know about the V8, but for the 6 [M54] the handy dandy ebay fan assembly wrench [$18 or so] was a great help. Squid makes good points: this ain't rocket science, but it pays to read up carefully, get your parts and tools assembled, and proceed methodically. Good luck!

My bad, I really need to read all of the words.

A test of the charging system is that the battery voltage with engine off should be about 12.5v. The battery is rated to 12, and that's where it should be, give or take.

With engine on, the voltage should be 14.4v.

If the voltage is low before engine start, but okay after, then the alternator is working and the battery is weak/old. It can be weak and new, I suppose. This would indicate a manufacturing error.

The alternator comes with the VR installed. The VR alone is marginally cheaper, and arguably easier to install because if done right the alternator can remain on the car.

One other point: I don't know about the V8s, but on the M54, to get to the alt it helped to remove the power steering reservoir, which can also be a source of leaks. If the ps fluid looks like chocolate milk, also a good time to flush that and maybe [as I did] replace the PS reservoir [relatively cheap part] so as to replace its filter. I try to do this kind of preventive maintenance task thats 'on the way' whenever I start pulling parts out from under the hood ..... as noted, the ebay fan wrench [the two piece version, with a wrench and separate 'wedge' bar] is nice for the alt task as well as if you have to eventually change the water pump, etc.