It's above the water pump, has a plastic housing. It's electrically controled, you have to replace the whole thing as an assembly (thermostat, housing and gasket).
You need to have some special tools to hold the water pump pulley while remove the fan clutch, otherwise you can damage few parts.
The use of the OE BMW coolant is extremely important! It has a blue color, don't use anything else. To bleed the system correctly is also an important thing, believe me, you don't want to overheat this engine.
If you are not very familiar with this type of engine and cooling system, better if you leave this job for a BMW specialty shop. If you want a good one in your area I can suggest one.