not sure what all this talk is of needing it programmed etc. aux leads should be plug and play on e85/e86. That however doesn't look like a traditional aux cable (most having a 3.5mm jack on the end)
nightyard is right, they need a resistor in there somewhere to "trick" the radio into thinking its the correct one
(if you have bought that from BMW and a genuine cable, disregard everything I have said, but it doesn't look like it to me)