Oh, OK, I found the paperwork. I did not remember anymore how the thing worked - it is several years since I did that.
By the way, I assume that you have a similar radio head to mine: Becker with CD player.
Turns out that the AuX input is accessed via an extra high-density connector that integrates into the big connector "pack" already on the back of the radio. There is no dedicated input jack or anything like that.
You will need to buy a BMW kit: "Auxiliary Audio Input Kit", p/n 82 11 0 149 389. The kit consists of an audio cable ending with a stereo jack. The other side of the cable ends with a special square connector that will snap into the big high-density connector on your radio. The BMW kit includes an installation sheet with more details.
I bought my kit from Bavarian AutoSport
, it cost close to $40-$50. It is actually designed for 3- and 5- Series cars with in-dash CD player, from September '02 on. You can search the site by car model, just use 2002 model 525i. Very likely, it can be also obtained from your BMW car dealer.
As I mentioned, you will need a fairly powerful audio source. Apparently, some sat radio receivers are powerful enough, but my portable players were not. Some users here cut the cable and installed a Radio-Shack inline amplifier. I bought from Cana Kit
their UK154 "14W MP3 / Walkman Stereo Amplifier". It's an open-board circuit that runs on 12-18Vdc. I cut and soldered the audio kit cable, added power wires, wrapped the whole assembly in waterproof tape and mounted under nose cone.
As you can see, it's not a simple project. If you want to ride, get your bike back together, prepare all parts and then do the installation off-season.