From 09/2001:

WARNING: This page does not describe the selected car, but rather 6 other vehicles, including the 2006 BMW M3, 2005 BMW M3, 2004 BMW M3, 2003 BMW M3, and 2002 BMW M3. However, it is still accessible from the selected car via links, so may be relevant.

Open hood.

Loosen screw (1).

Fig 1: Removing Front Turn Signal Lamp

Courtesy of BMW OF NORTH AMERICA, INC.

Installation:

Observe tightening torque, 1.5 Nm.

NOTE: Secure front turn signal lamp (2) against falling out.

Slide out front turn signal lamp (2) in direct of arrow.

Installation:

Make sure nut (1) is correctly seated on headlight housing (2).

Fig 2: Identifying Nut On Headlight Housing

Courtesy of BMW OF NORTH AMERICA, INC.

If necessary, when screwing front turn signal lamp into place, secure nut (1) with screwdriver (3) against turning.

Installation:

When sliding in front turn signal lamp (1), make sure guides (2) are correctly seated in headlight mounts (3).

Fig 3: Installing Front Turn Signal Lamp

Courtesy of BMW OF NORTH AMERICA, INC.

Make sure bonded seal is correctly seated under front turn signal lamp (1).