I got mine open by using a small screwdriver to push up on the metal latch that you can see when you pull the latch handle. There are many posts on this site about the convertible glovebox. BMW put extra security in the convertible so that you can store valuables in the glovebox or trunk with the top down.
The glovebox latch contains a microswitch that locks out the trunk, along with a worm drive postioner that can (and will) prevent the glovebox from being opened when the car is locked.
I'm only partially down the trail to fixing the glovebox. I can open it with a key on a regular basis, and it occasionally drops open when I use the key remote to unlock the car. Kinda like my wife, I haven't got her figured out, but she's livable, and I enjoy the challenge.
See my reply to "Glovebox won't open" in the general e46 thread for a pic of the latch and the metal latch pin that I pushed to open the lock.