Whenever you replace a BMW radio from a car built before 9/2001 you need to replace the Antenna amp with an amp after 9/2001. This is because BMW switched internal amp design to eliminate that second antenna wire. Thats why the newer radio doesn't have a connection for it. If you just switch radios, use an antenna adapter, and leave the extra wire hanging you will lose reception. You can get a newer antenna amp (I did this and it solved my reception issue) but the list price is about 225.00. I did it the way BMW says and upgraded my amp, but have read on some posts here that you can also connect the extra wire to power up the amp and it also works but I haven't tried it.
If you do get a new amp just make sure you get the right frequency. The amp is also where the Keyless entry system sends its signal. The frequency is clearly marked on the amp.
If you have an E46 coupe with Keyless entry the part number of the newer amp is 65-25-6-906-075 for 315 MHz and 65-25-6-906-074 for 433 MHz