Hey plantkiller, welcome to the forum!
If you've ever changed your own oil before, you'll be very pleased with how simple it is for your Z4. And I'm guessing that your '07 is laid out the same as my '05.
Your drain plug should be centrally located underneath the engine (and toward the back of the car a bit) behind a little door in the skid plate. It's easy enough to find, and someone here may have a picture. The oil filter element is just to the left of the air filter box (when you're facing the front of the car). The oil filter housing is permanent, so you only need to change the filter element and the o-ring for the cap. Removing the old o-ring is easy enough, and just make sure to put a little new oil on the new o-ring before you tighten down the cap (just like you would on a traditional oil filter, basically). I believe you'll need either a 35 or 36mm socket to remove the cap on the oil filter housing, but this is easy enough to measure for confirmation.
If you get your filter from your BMW dealer, it is a kit which will include the filter element, new o-ring for the filter housing cap, and a new crush washer for the drain plug.
As long as your '07 has the traditional oil dip stick, changing your oil will be a pretty quick job (if you've done it on your previous cars)
Does this answer your questions?
Not sure if 1k miles is the right time to change out the factory oil (I did my first change somewhere between 3k and 5k), but if there's a good known reason not to do it this soon, I'm sure one of the other good folks here will bring it to light.
Cheers
