Just fixed this on my 2001 X3 (US model) for about $15.

You will have to remove the glove box.  To the left of the blower housing
you will see a couple of wires running to a blue or black plastic rectangle
about 2" by 1", mounted to the fire wall with one bolt, if I remember right.
This is the piece you need to replace, called a variable resistor, I
believe.  I was told this is a dealer item only, so go to your dealer's
parts counter.  If you lose your high speed before you get this fixed it is
probably a fuse in the engine compartment as well.  Your owners manual will
tell you which one.
UK models may be a different setup.  Someone earlier in here said the
resistor (thermal fuse) was in the blower housing.  I don't know about that.
Google thermal fuse for this group and find more on the topic.

Hi,

  My daughter needs help with her "X" reg Focus. The heater/demister
fan has four settings but will only blow on maximum on number four and
not on the other three. What is the problem?

                        Cheers Ian