On most BMW's that fuel filter is located under the drivers feet UNDER the car. Yea, bmw puts a fuel pressure regulator onto the filter. I would check with any good German parts (aftermarket) store. Someplace that sells MAHLE filters. That is who makes them for BMW. I bet a Mahle one is at least 1/3 less than the BMW filter.
And yes, there is another filter inside the gas tank. Its more of a fine/sock that pre-filters the fuel before getting pumped up front to the fuel filter.
WHEN you change the fuel filter up front MARK the fuel lines which is feed and which is the return line. Its easy to forget. Ask me how I know that! Also buy new BMW fuel filter clamps. Not regular hose clamps... but either the spring-y types or teh crimp on ones.(you'll also need a crimping tool for those) but they are better than a worm gear type hose clamp.
And take some pics for the rest of us! DIY!!
PS: you might also want to change your pollen filter and wiper blades while your at it.