doc, i think you're in over your head if you're looking to do it yourself, especially about the basic ideals of installing the antenna, which needs to be placed outside for greatest effective reception; you would need to hide wires in the dash trim and get the antenna outside of the vehicle, it's not a completely easy operation.
of course you could always mount the antenna inside the cabin of the vehicle near the front window, and perhaps receive sufficient reception enough to maintain a solid signal, but the interior antenna installs are hit and miss.
you can broadcast straight out of the internal FM modulator of the Replay on a specific fm frequency then tune this frequency in on your radio, and listen to it that way. or you could get an FM Relay box to hardwire the fm output of the Replay to the antenna port of the X3 radio with antenna adapters(not pictured):
but, my advice to you, unless you're willing to devote some time into doing the install right and mount the unit in a convenient location, with the minimal of wires showing, and especially on an BMW X3, i'd just take it to an audio installer, pay someone $150 + parts to install it, and just make sure they do it right:
antenna outside, wires routed so that they're hidden as much as possible, hardwired power so there is no cigarette lighter adapter sticking from the ashtray all the time, hardwired FM relay so that no external radio stations are trying to share the FM frequency your Replay is broadcasting on, or better yet, buy an auxillary input adapter to integrate with the BMW radio, so that audio is hardwired and you can get the best possible audio that can be had from the Replay, without the limiting audio range of FM.
but all of this cost. the labor $100-150, perhaps a mounting bracket $30, auxillary input adapter $50, wiring RCA cable adapter $10.
i would say, if you've read the install/instruction manual and find it daunting or out-of-your-league, just take it to a professional installer. you'll pay money to have it done right, but that's it, it will be done right, as long as you specifically state what it is exactly you want done.
where on this dash layout are you going to want it mounted?