I wouldnt say that it would be
difficult because its a BMW but would rate the difficulty based on your mechanical knowledge. Im sure there is plenty of specific pointers about the replacement on here if you did a search on head gasket.
Like Mark said you should get a bentlys manual which would be pretty much required on a project such as this one along with an assortment of quality tools.
You will need to have the head pressure tested and checked for cracks while it is off just for common sence reasons, you don't want to do this again back to back.
When you are done there is a specific way to bleed the air out of the system or you will overheat your work. Pay particular attention to this!
Good luck and feel free to post any other questions about your project and I'm sure you will get enough feedback to make you comfortable in doing this project.
Good Luck!
95 E34 530I V2.37
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Those who make peaceful revolution impossible will make violent revolution inevitable.
John F. Kennedy