Follow the main radiator hose from the top right (as you're looking at the engne) around to the aluminum housing. The thermostat is inside. Bavauto has them for $75.
If you're a first time X5 (or Bimmer of any kind) owner then I'll pass on this lttle tidbit for you about your X5 and the balmy winters you have like we do here in Canada.
Purchase a pan heater and ensure your vehicle is plugged in when it gets cold. Don't listen to those who tell you they don't need to be plugged in. There are no block heaters on any of them and they really shoudn't need one, but because it gets so cold where you are, the oil separator at the bac of the block can hold condensation if your drives are short. These freeze ups can cause catastophic engine failure. Ensurng the oil is warmed helps but will not completely solve the probelm. BMW claims to have a "fix" and they may well have, but I'm told it's not a guarentee. BMW aso refuses to truly acknowledge the issue (from the ast I heard) as this part of the world is about 1% of sales worldwide.
I put a pan heater on mine last year. So far so good.
Love them and would have no other, but they do have their issues...
Last edited by Red Coat; 12-11-2009 at 06:19 PM.