I recently replaced the headliner in my E39 540i/6 with the Alcantara headliner exclusive to the E39 M5, and here is how I did it.
Objective: Remove and reinstall the headliner.
Applicable Vehicles:
1996-2003 BMW E39 5-series: 520i, 523i, 525i, 528i, 530i, 535i, 540i, M5.
Parts required: Replacement headliner, hardware inn color of choice.
Cost: $100-$750
Difficulty: Moderate.
Time Required: 4-6 hours.
Procedure: To see how to do this for yourself, watch the embedded video below!