One other thing to consider (yes - the replacement of the window is difficult) is to get an non OEM part.
At
http://www.emiata.com/Z3Window.asp you will find a guy to takes your old window as a trade and supplies you with a new window cheaper than a BMW dealer. Here is the kicker though, when he supplies it, the wondow comes with all the necessary glues, etc as well as instructions. It will still probably take you 5 hours to do it, but at least you have instructions.
This guy seems to be in the US - so that suits you too.