Ha ha I agree ssarah, my last car, a mercedes slk, came with one free, an easy to put on mesh sitting in the all boot ready to use, i made the mistake of thinking BMW would do the same and foolishly looked all over for it when i first got the new Z4 home.
rmorin49, yes there is a few mm between the black and silver parts and a bit of a ridge on the silver one that your finger tips can pull and at first nothing budged but the bottom edges slowed eased away as the plastic balls slide out of the rubber and gave more and more purchase. if it doesnt move i would think some sort of L shaped tool with a lip to get underneath the back of the silver one, like the metal end on a tape measure to pull it away might work. I admit I was worried about how hard it would be before starting but was pleasantly suprised how easy it was. the instructions that the dealer printed for me and someone put on here are very basic and dont inspire confidence. by the way if anyone is in the northeast of the Uk I would happily help