Did it myself. It's very simple as everything is already there in your E39. No need for wiring or taking out anything. I bought the Intravee 2 from a vendor in UK after reading extensively on it.
http://www.intravention.co.uk is a good source. As for the Alpine changer, I bought it from a forumer, bmwfans. Dunno where he got it. But you can easily find this on Ebay.
I suggest you go for the mp3 changer first. The Intravee work best if you have the 16:9 screen. If you have the regular MID then it won't show it's full capability as the MID display is too small to show much. Might as well stick with track 1,2,3 etc... and save some money. Besides, the sound is the same. Just no mp3 tags. I was using the changer alone for quite sometime before upgrading the MID into the 16:9 screen. Then only I got the Intravee.
I also tried the Dice and Ipod route but did not like it. Too complicated and buggy. Most of the time it just freezes. Very frustrating. (Oh, the Intravee can also be used with an Ipod but you will need another thing to plug it and it's miles better than the Dice- from what i read anyway)
Good luck with your project. Let me know if you need anymore info. I have pretty much explored most of the options to improve the E39 and E34 sound system and still look stock which I think is important.