don't buy one for the z4..it's like $70! one for the E46 is only $32 with club discount at Tischer BMW
1)take the vent out (use another DIY)
2)unscrew two screws on the headunit and pull out.
3)insert the cable into back of the head unit. If there is a black plug already occupying the space, remove it and insert the AUX cable. I believe it is for a CD changer
4)POP open the ashtray, unscrew 1 screw and slowly pry apart the console w/buttons
5)take the aux cable and drop it behind the headunit and should drop down to where you can grab and pull from bottom
6)drill a hole on the ashtray on the slanted part(just my preference) big enough for the aux cable to go through, then POP out the empty flat part with a hole thingy and get rid of the plastic cone that is behind it.
7)put the aux cable through, put the face on, screw the face on and you are done