could be a couple things. the szl module as mentioned or the base of the steering column as it passes thru the firewall.....
listening to your video, i think it is the steering column where it enters the firewall.
mine does this everytime it starts to get cold out, i remove the plastic panel under the dash, be careful with the fiber optic running under there. you will see the metal steering column enter a rubber boot/sleeve looking thing, i literally spray inside that boot with a few bursts of liquid wrench silicone spray or WD40 (lol, it is the answer), then turn the steering back and forth a few times. squeeking goes away until next year.
2006 330i - Jet Black - 19" E46 M3 wheels - HR Sport - 180,000 Miles...