How to replace brake caliper ?
 

My 2001 X5 4.4 had the infamous steering wheel shimmy/shake when breaking from 60 and more. Do you know how replace and where to buy brake calipers ?

We have articles for all DIY under 'Articles' section in link above
Here is brakes section - Brakes - Xoutpost.com

You can buy brake pads and calipers from our sponsor ECS Tuning. www.ECStuning.com

Why would you replace the caliper for a brake shimmy? It's most likely the bushings in the suspension, not the brakes. Even if it was caused by the brakes, it wouldn't be a caliper unless it was sticking, but more likely a brake rotor.

Or you can buy a caliper rebuild kit
if your old caliper is not seized , the bushes for the guide pins may be worn causing vibration , these are included in the kit .

or it could be the road surface if it`s a one off event or very hot brakes can do this .

Seeing how this is your first post hear on the website, you need to take some time and use the search function and read up on your problem before you start throwing away money. Like one member said it's probably one of the bushings in the front suspension causing your problem, this not uncommon.