They're pretty cheap...you can get aftermarket ones or just go to the dealership...be sure to show your BMWCCA membership card for an extra 10-15% off. I've bought BMW Original and some STP and another brand can't recall now. They are all comparable. I'm sure there are air filter connoseurs on here that would argue only one brand is the best, but I think the point is to change it at least once or twice a year...keep that fresh air flowing freely. I change mine twice a year, before and after winter. Since I keep a frequent change interval, I don't go crazy on any expensive brand filters.
If you live in dusty areas, like the desert (Vegas)...you'll change more than someone in less dusty places. Oh, when you unsnap the housing, I've found it's a good idea to use an indoor/outdoor vac in there, cuz I've found bees and bugs and little sand gets caught in there.
Good luck...is this one of your first DIY's?!? I never did anything to a car until I bought my 3 series...now I love working on my car...not that I can do all that much...before you know it, you'll be replacing a hose here or there, doing your own belts...hahahaha!