Here are some notes I posted after I did it for the first time:
http://www.bmwm5.com/vbulletin/showt...eferrerid=1667
You can also do a search on this board for "oil change".
Basically, you just need to open a small square plastic cover under the car with a screwdriver. This gives you access to the drain plug. Unscrew the drain plug and drain as you would for any car. Then the filter is a cartridge-type filter in the front left section of the engine compartment. It will probably be on pretty tight, but you probably won't need a wrench.
The replacement filter you get from the parts department will include the filter, a new 0 ring for the cannister, and a new copper washer for the drain plug.
Tighten up the drain plug, and the cannister with the new filter, replace the oil, replace the cover on the underbody, and you're done. Probably you should recheck the oil level after a short while.