If it's like the business unit from my 93 E36 320i SE, look at the front of
the player carefully, mine had thin plastic covers on each side edge that
popped off to reveal bolts underneath with hex heads. Get a hex wrench to
fit, unscrew them, slide the radio out. Push the mounting bracket for the
new player into the hole and secure the tags to stop it being pulled out.
Plug in the adapter for your new player to the wiring harness (I picked mine
up from Halfords for ?9), plug into the new player, push the cables back out
of the way, slid the new unit into it's bracket, and you're done. I did this
with a Pioneer 3500MP (CD/MP3), but should be the same with any DIN/ISO
standard unit.

Dan

If your car is anything like mine, the radio comes out from the front. Look
closely at the front of the radio, you should be able to see a very small
cover near the edges of the radio, one on each side. Open these covers and
you will find a small allen screw inside. Loosen the screw and the radio
will come out. The problem: the screw really isn't an allen at all, it only
has five sides and requires a special tool that cost under $10(USD).