It's actually a two-step process for the rolling code garage door opener:
With the key in the accessory position (or with the engine running so you can get some air conditioning and not get all hot and mad while you work on this
1. Press and hold the button on the X5 UGDO panel that you want to program, while holding your current remote near the panel and pressing the button on your current remote. Don't let go of either button until the UGDO light starts blinking rapidly.
2. Then, get out of the X5 and step on a stepladder and press the red button on your garage door opener. You've got about thirty seconds to return to the X5. (A friend could be helpful here, but I've done it myself)
3. Press and hold down the same button again on the UGDO panel. The instructions say to repeat this press and hold thing a couple times, but mine picked it up on the first try.
A word of wisdom - do NOT hold down the red button for very long on the garage door opener. You just need to press it in once, jump down and go back to the X5. Holding it down for any real length of time resets ALL your remotes, which means you now cannot open the door with anything, and have to program everything (ask me how I know
website has a nice step through instruction page if you need it.