Update! I fiddled with it at lunch. The owner's manual (from BMW web site) says that it may take a while to load data from external device, so I gave it another look. I found the problem - it's not the interface, it's the Eye-yi-yi-drive. Here's what I had to do:
From main menu, select CD/Multimedia. This immediately started playing my CD and took me to the CD menu. Hit the back button, and this menu shows external devices, CD, tone, etc. Select external devices and the USB device then shows up. Select it and proceed through the menus to select songs, search, etc.
I made a short cut to the external USB device selection so that I can now get to it directly (and it resumes play).
Sound quality is poorer than the CD (which is not unexpected due to compression) but many people may not notice. And for the convenience, it may not matter to me either, long-term. I'm too cheap to get the CD changer.
Thanks all for the help - maybe this can help someone else later down the line.
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Current inventory:
F22 & G05
Cadillac CT5-V Blackwing w/3 pedals
Past: E24,E28(3),E34,E36,E37,E38(2),E39(4),E46,E89,E92 (obviously),F01,F06,F10,F30,F87,G12,G30(2),G82(2)