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If this is the E46 version then on the back of the key type 1 there will be a cover you can pop off with a small flat head screwdriver this will then reveal 2 x screws that you remove to gain access to the the batteries. (Try to ensure the battery change over is all done within 60 seconds or earlier) to save having to reprogramme etc..Type 2 doesn't require replacement batteries as these are rechargeable and must be done by using each key once a year to recharge..
If you have the E90/91/92/93 CA (Comfort Access) fob..then the procedure is as below..non CA its rechargeable..