I don't know if the 94's suffer from this problem, but it is well known that
AM reception SUCKS in newer BMW's. My 87 325is had fantastic AM range, my
new 740 and M5 might as well not have AM at all outside the city.

I had it tested and tested, and the upshot was that the embedded antenna
combined with tinting pretty much kill the reception. If you really want
good AM (and I do) the only real fix is to mount an outside antenna (even a
little rubber ducky thing).  At this point I have decided against doing this
to my cars.

As I'm changing mine this weekend, I thought I'd take out my decent system
and put a standard one it.  I took it to a place that sells them and they
just popped it out for no charge.

Otherwise, you can get 'keys' to get them out, usually around ?5 over here.

Both of these little covers house a 5-sided allen screw. The tool is at your
BMW dealer for about 5 bucks.

These is a 5 point allen screw behind the small covers which you turn
anti-clockwise.  Rather than finding the right tool you can use a very hard
screwdriver or allen key to force the screws around (you might as well put a
decent stereo or CD player in once you get the horrible factory unit out).
When you've turned the offending screws as far as they go the radio should
just slide out.
The other method is to remove all the dash surrounds and console but there
is more chance of breaking somthing in the process.

Steve