It should mount in one of the ducts below the bumper. On my e30, the sensor is located in a brake cooling duct, which are located at the very bottom of the car and can be seen from the front. Sorry I don't have any pictures to describe myself. In my car, there is a hole in the top of the duct, so the sensor would be plugged in from above and be "hanging" into the air duct.
I'd be much obliged if someone could explain this without rambling like me.